FX

The US Dollar Index Fell To End The Week, In Line With The Moves In Rates Differentials Today

The Rouble rose over 1% after the Russian central bank hiked rates 75 bp (25 bp higher than market consensus), while the Turkish lira and Brazilian Real continued to slide (down 3.5% and 3.3% respectively this week)

Published ET

Gains in the CNH Reflected In The Implied Volatility Skew Of Risk Reversals, While The Euro And JPY Got Closer To Home This Week | Sources: ϕpost, Refinitiv data

Gains in the CNH Reflected In The Implied Volatility Skew Of Risk Reversals, While The Euro And JPY Got Closer To Home This Week | Sources: ϕpost, Refinitiv data

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QUICK DAILY SUMMARY

  • The US Dollar Index is down -0.19% at 93.58 (YTD: +4.00%)
  • Euro up 0.22% at 1.1647 (YTD: -4.6%)
  • Yen up 0.44% at 113.46 (YTD: -9.0%)
  • Onshore Yuan up 0.13% at 6.3839 (YTD: +2.2%)
  • Swiss franc up 0.24% at 0.9158 (YTD: -3.3%)
  • Sterling down 0.24% at 1.3758 (YTD: +0.6%)
  • Canadian dollar up 0.05% at 1.2359 (YTD: +3.0%)
  • Australian dollar down 0.03% at 0.7464 (YTD: -3.0%)
  • NZ dollar down 0.01% at 0.7153 (YTD: -0.4%)

MACRO DATA RELEASES

  • Brazil, Current Account, Balance, Current Prices for Sep 2021 (Central Bank, Brazil) at -1.70 Bln USD (vs 1.68 Bln USD prior), below consensus estimate of -1.55 Bln USD
  • Brazil, Financial Account, Direct Investment, In Reporting Economy, Net incurrence of liabilities, Current Prices for Sep 2021 (Central Bank, Brazil) at 4.50 Bln USD (vs 4.45 Bln USD prior), below consensus estimate of 5.00 Bln USD
  • Canada, Retail Sales, Change P/P for Aug 2021 (CANSIM, Canada) at 2.10 % (vs -0.60 % prior), above consensus estimate of 2.00 %
  • Canada, Retail Sales, Retail Sales Ex-Autos MM, Change P/P for Aug 2021 (CANSIM, Canada) at 2.80 % (vs -1.00 % prior), in line with consensus
  • Euro Zone, PMI, Composite, Output, Flash for Oct 2021 (Markit Economics) at 54.30 (vs 56.20 prior), below consensus estimate of 55.20
  • Euro Zone, PMI, Manufacturing Sector, Total, Flash for Oct 2021 (Markit Economics) at 58.50 (vs 58.60 prior), above consensus estimate of 57.00
  • Euro Zone, PMI, Services Sector, Business Activity, Flash for Oct 2021 (Markit Economics) at 54.70 (vs 56.40 prior), below consensus estimate of 55.50
  • France, PMI, Composite, Output, Flash for Oct 2021 (Markit Economics) at 54.70 (vs 55.30 prior), in line with consensus
  • France, PMI, Manufacturing Sector, Total, Flash for Oct 2021 (Markit/CDAF, France) at 53.50 (vs 55.00 prior), below consensus estimate of 54.00
  • France, PMI, Services Sector, Business Activity, Flash for Oct 2021 (Markit/CDAF, France) at 56.60 (vs 56.20 prior), above consensus estimate of 55.50
  • Germany, PMI, Composite, Output, Flash for Oct 2021 (Markit Economics) at 52.00 (vs 55.50 prior), below consensus estimate of 54.00
  • Germany, PMI, Manufacturing Sector, Total, Flash for Oct 2021 (Markit Economics) at 58.20 (vs 58.40 prior), above consensus estimate of 56.50
  • Germany, PMI, Services Sector, Business Activity, Flash for Oct 2021 (Markit Economics) at 52.40 (vs 56.20 prior), below consensus estimate of 55.00
  • Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Flash for Oct 2021 (Markit Economics) at 53.00 (vs 51.50 prior)
  • Mexico, CPI, Core CPI, First half of month, Change P/P, Price Index for Oct 2021 (INEGI, Mexico) at 0.33 % (vs 0.31 % prior), above consensus estimate of 0.19 %
  • Mexico, CPI, INPC, First half of month, Change P/P, Price Index for Oct 2021 (INEGI, Mexico) at 0.54 % (vs 0.42 % prior), above consensus estimate of 0.51 %
  • Russia, Policy Rates, Central bank key rate for Oct 2021 (Central Bank, Russia) at 7.50 % (vs 6.75 % prior), above consensus estimate of 7.25 %
  • Taiwan, Unemployment, Rate for Sep 2021 (DGBAS, Taiwan) at 3.92 % (vs 4.08 % prior)
  • Thailand, Exports, Total, customs basis, Change Y/Y for Sep 2021 (Bank of Thailand) at 17.11 % (vs 8.93 % prior), above consensus estimate of 11.62 %
  • Thailand, Imports, Total, customs basis, Change Y/Y for Sep 2021 (Bank of Thailand) at 30.31 % (vs 47.92 % prior), below consensus estimate of 33.10 %
  • Thailand, Trade Balance, Total, customs basis (USD), Current Prices for Sep 2021 (Bank of Thailand) at 0.61 Bln USD (vs -1.22 Bln USD prior), above consensus estimate of -0.80 Bln USD
  • United Kingdom, Markit/CIPS PMI, Composite, Flash for Oct 2021 (Markit Economics) at 56.80 (vs 54.90 prior), above consensus estimate of 54.00
  • United Kingdom, Markit/CIPS PMI, Manufacturing Flash for Oct 2021 (Markit Economics) at 57.70 (vs 57.10 prior), above consensus estimate of 55.80
  • United Kingdom, Markit/CIPS PMI, Services, Flash for Oct 2021 (Markit Economics) at 58.00 (vs 55.40 prior), above consensus estimate of 54.50
  • United Kingdom, Retail Sales, Change, Total including automotive fuel, Change Y/Y for Sep 2021 (ONS, United Kingdom) at -1.30 % (vs 0.00 % prior), below consensus estimate of -0.40 %
  • United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change P/P for Sep 2021 (ONS, United Kingdom) at -0.60 % (vs -1.20 % prior), below consensus estimate of 0.20 %
  • United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change Y/Y for Sep 2021 (ONS, United Kingdom) at -2.60 % (vs -0.90 % prior), below consensus estimate of -1.70 %
  • United Kingdom, Retail Sales, Total including automotive fuel, Change P/P for Sep 2021 (ONS, United Kingdom) at -0.20 % (vs -0.90 % prior), below consensus estimate of 0.50 %
  • United States, PMI, Composite, Output, Flash for Oct 2021 (Markit Economics) at 57.30 (vs 55.00 prior)
  • United States, PMI, Manufacturing Sector, Total, Flash for Oct 2021 (Markit Economics) at 59.20 (vs 60.70 prior), below consensus estimate of 60.30
  • United States, PMI, Services Sector, Business Activity, Flash for Oct 2021 (Markit Economics) at 58.20 (vs 54.90 prior), above consensus estimate of 55.10

WEEKLY IMM SPECULATIVE POSITIONING DATA

  • ALL CURRENCIES: reduction in net long US$ positioning
  • G10: reduction in net long US$ positioning
  • Emerging: reduction in net long US$ positioning
  • Euro: reduction in net long US$ positioning
  • Japanese Yen: increase in net long US$ positioning
  • UK Pound Sterling: reduction in net long US$ positioning
  • Australian Dollar: reduction in net long US$ positioning
  • Swiss Franc: increase in net long US$ positioning
  • Canadian Dollar: reduction in net long US$ positioning
  • New Zealand Dollar: reduced their net short US$ positioning
  • Brazilian Real: increase in net long US$ positioning
  • Russian Rouble: increase in net short US$ positioning
  • Mexican Peso: reduction in net long US$ positioning
Weekly Performance of FX Majors | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -2.8 bp at 162.7 bp (YTD change: +51.6 bp)
  • US-JAPAN: -3.9 bp at 128.3 bp (YTD change: +80.0 bp)
  • US-CHINA: -4.6 bp at -162.1 bp (YTD change: +95.0 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.4 bp at 94.6 bp (YTD change: +48.5bp)
  • US-JAPAN: -4.5 bp at -63.6 bp (YTD change: +37.9bp)
  • JAPAN-GERMANY: +4.1 bp at 158.2 bp (YTD change: +10.6bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP 10Y Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.15, up 0.02 (YTD: -1.02)
  • Euro 1-Month At-The-Money Implied Volatility unchanged at 4.63 (YTD: -2.1)
  • Japanese Yen 1M ATM IV unchanged at 6.44 (YTD: +0.3)
  • Offshore Yuan 1M ATM IV unchanged at 3.85, (YTD: -2.1)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataJPY 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Brazil (rated BB-): up 9.0 basis points to 235 bp (1Y range: 141-229bp)
  • Egypt (rated B+): up 11.6 basis points to 452 bp (1Y range: 283-464bp)
  • Turkey (rated BB-): up 7.9 basis points to 460 bp (1Y range: 282-560bp)
  • South Africa (rated BB-): up 3.5 basis points to 212 bp (1Y range: 178-280bp)
  • Argentina (rated CCC): up 38.3 basis points to 2,364 bp (1Y range: 1,071-2,336bp)
  • Mexico (rated BBB-): up 1.4 basis points to 97 bp (1Y range: 79-127bp)
  • Bahrain (rated B+): up 3.5 basis points to 298 bp (1Y range: 159-330bp)
  • Peru (rated BBB): up 1.0 basis points to 85 bp (1Y range: 52-105bp)
  • Morocco (rated BB+): down 1.0 basis points to 91 bp (1Y range: 84-108bp)
  • Malaysia (rated BBB+): down 0.9 basis points to 55 bp (1Y range: 33-64bp)

CDX EM Sovereign Credit Spreads | Sources: phipost.com, Refinitiv data

LARGEST FX MOVES TODAY

  • CFA Franc BEAC up 3.4% (YTD: -2.1%)
  • Myanmar Kyat up 2.0% (YTD: -30.7%)
  • Barbados Dollar up 1.5% (YTD: +1.5%)
  • Russian Rouble up 1.4% (YTD: +5.6%)
  • Belize Dollar up 1.2% (YTD: +1.2%)
  • Cape Verde Escudo up 1.0% (YTD: -0.9%)
  • Turkish Lira down 1.0% (YTD: -22.7%)
  • Sri Lanka Rupee down 1.0% (YTD: -8.6%)
  • Haiti Gourde down 2.0% (YTD: -26.8%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 43.3%
  • New Zambian kwacha up 23.5%
  • Haiti Gourde down 26.8%
  • Myanmar Kyat down 30.7%
  • Surinamese dollar down 33.8%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 73.8%
  • Sudanese Pound down 87.5%