FX

No Surprise From The Bank Of Canada, As Rates Were Left Unchanged And The QE Program Ended

The Brazilian SELIC surprised markets by raising rates more than expected, though that is unlikely to be a sufficient risk premium to make the real attractive in the short term, with the high level of local inflation coupled with a government tossing aside its budget spending cap

Published ET

1-Month Changes In The CitiFX Inflation Surprise Indices | Sources: ϕpost, Refinitiv data

1-Month Changes In The CitiFX Inflation Surprise Indices | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.12% at 93.86 (YTD: +4.31%)
  • Euro down 0.03% at 1.1592 (YTD: -5.1%)
  • Yen up 0.34% at 113.76 (YTD: -9.2%)
  • Onshore Yuan down 0.16% at 6.3915 (YTD: +2.1%)
  • Swiss franc up 0.20% at 0.9186 (YTD: -3.6%)
  • Sterling down 0.27% at 1.3729 (YTD: +0.4%)
  • Canadian dollar up 0.17% at 1.2372 (YTD: +3.0%)
  • Australian dollar down 0.07% at 0.7494 (YTD: -2.6%)
  • NZ dollar down 0.21% at 0.7158 (YTD: -0.4%)

MACRO DATA RELEASES

  • Australia, CPI, Change P/P, Price Index for Q3 2021 (AU Bureau of Stat) at 0.80 % (vs 0.80 % prior), in line with consensus estimate
  • Australia, CPI, Change Y/Y, Price Index for Q3 2021 (AU Bureau of Stat) at 3.00 % (vs 3.80 % prior), below consensus estimate of 3.10 %
  • Australia, CPI, Trimmed mean, Change P/P for Q3 2021 (AU Bureau of Stat) at 0.70 % (vs 0.50 % prior), above consensus estimate of 0.50 %
  • Australia, CPI, Trimmed mean, Change Y/Y for Q3 2021 (AU Bureau of Stat) at 2.10 % (vs 1.60 % prior), above consensus estimate of 1.80 %
  • Australia, CPI, Weighted median, Change P/P for Q3 2021 (AU Bureau of Stat) at 0.70 % (vs 0.50 % prior), above consensus estimate of 0.50 %
  • Australia, CPI, Weighted median, Change Y/Y for Q3 2021 (AU Bureau of Stat) at 2.10 % (vs 1.70 % prior), above consensus estimate of 1.90 %
  • Austria, Markit PMI, Business Surveys, PMI, Manufacturing Sector, Total for Oct 2021 (Markit Economics) at 60.60 (vs 62.80 prior)
  • Brazil, Policy Rates, SELIC Target Rate for 28 Oct (Central Bank, Brazil) at 7.75 % (vs 6.25 % prior), above consensus estimate of 7.25 %
  • Canada, Policy Rates, Overnight Target Rate for 27 Oct (Bank of Canada) at 0.25 % (vs 0.25 % prior), in line with consensus estimate
  • Euro Zone, Money Supply, M3, Change Y/Y for Sep 2021 (ECB) at 7.40 % (vs 7.90 % prior), below consensus estimate of 7.50 %
  • France, Consumer confidence, overall for Oct 2021 (INSEE, France) at 99.00 (vs 102.00 prior), below consensus estimate of 101.00
  • France, Producer Prices, Domestic, Change P/P, Price Index for Sep 2021 (INSEE, France) at 1.70 % (vs 1.00 % prior)
  • Germany, GfK Consumer climate indicator for Nov 2021 (GfK Group) at 0.90 (vs 0.30 prior), above consensus estimate of -0.50
  • Germany, Import Prices, Change P/P, Price Index for Sep 2021 (Destatis) at 1.30 % (vs 1.40 % prior), below consensus estimate of 1.50 %
  • Germany, Import Prices, Change Y/Y, Price Index for Sep 2021 (Destatis) at 17.70 % (vs 16.50 % prior), below consensus estimate of 18.00 %
  • Japan, Retail Sales, Change Y/Y for Sep 2021 (METI, Japan) at -0.60 % (vs -3.20 % prior), above consensus estimate of -2.30 %
  • Russia, Production, IP Total , Change Y/Y for Sep 2021 (RosStat, Russia) at 6.80 % (vs 4.70 % prior), above consensus estimate of 4.60 %
  • Thailand, Production, Value Added, Manufacturing, total, Change Y/Y for Sep 2021 (OIE, Thailand) at -1.28 % (vs -4.15 % prior), above consensus estimate of -3.00 %
  • Turkey, Trade Balance, Current Prices for Sep 2021 (TURKSTAT) at -2.55 Bln USD (vs -4.26 Bln USD prior)
  • United States, Manufacturers New Orders, Durable goods excluding transportation, Change P/P for Sep 2021 (U.S. Census Bureau) at 0.40 % (vs 0.30 % prior), in line with consensus estimate
  • United States, Manufacturers New Orders, Durable goods total, Change P/P for Sep 2021 (U.S. Census Bureau) at -0.40 % (vs 1.80 % prior), above consensus estimate of -1.10 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Volatility | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.6 bp at 162.8 bp (YTD change: +51.7 bp)
  • US-JAPAN: -1.2 bp at 122.6 bp (YTD change: +74.3 bp)
  • US-CHINA: -2.9 bp at -167.0 bp (YTD change: +90.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -2.6 bp at 92.2 bp (YTD change: +46.1bp)
  • US-JAPAN: -2.2 bp at -74.2 bp (YTD change: +27.3bp)
  • JAPAN-GERMANY: -0.4 bp at 166.4 bp (YTD change: +18.8bp)
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 6.10, down -0.04 (YTD: -1.07)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.90, up 0.1 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 6.08, down -0.1 (YTD: 0.0)
  • Offshore Yuan 1M ATM IV currently at 3.75, down -0.1 (YTD: -2.2)
CNH EUR JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataCNH EUR JPY Skew in 1-Month 25-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Malaysia (rated BBB+): up 3.2 basis points to 52 bp (1Y range: 33-64bp)
  • Mexico (rated BBB-): up 1.9 basis points to 96 bp (1Y range: 79-127bp)
  • Chile (rated A-): up 1.4 basis points to 84 bp (1Y range: 43-89bp)
  • Morocco (rated BB+): down 0.9 basis points to 92 bp (1Y range: 84-108bp)
  • Philippines (rated BBB): down 0.6 basis points to 55 bp (1Y range: 33-65bp)
  • Oman (rated BB-): down 2.9 basis points to 238 bp (1Y range: 223-452bp)
  • Egypt (rated B+): down 5.8 basis points to 451 bp (1Y range: 283-464bp)
  • Indonesia (rated BBB): down 1.3 basis points to 78 bp (1Y range: 66-97bp)
  • Vietnam (rated BB): down 2.9 basis points to 97 bp (1Y range: 89-123bp)
  • Bahrain (rated B+): down 9.3 basis points to 282 bp (1Y range: 159-330bp)

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

LARGEST FX MOVES TODAY

  • Zimbabwe Dollar up 4.4% (YTD: +18.8%)
  • Myanmar Kyat up 3.9% (YTD: -29.3%)
  • Pakistani rupee up 1.1% (YTD: -7.6%)
  • Solomon Island Dollar up 0.9% (YTD: +0.2%)
  • Costa Rica Colon down 0.8% (YTD: -3.7%)
  • Haiti Gourde down 0.9% (YTD: -28.2%)
  • Norwegian Krone down 1.0% (YTD: +1.7%)
  • Mauritius Rupee down 1.3% (YTD: -8.8%)
  • Russian Rouble down 1.5% (YTD: +4.9%)
  • South Africa Rand down 1.5% (YTD: -2.6%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 53.1%
  • New Zambian Kwacha up 23.1%
  • Turkish Lira down 21.9%
  • Haiti Gourde down 28.2%
  • Myanmar Kyat down 29.3%
  • Surinamese dollar down 34.0%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Sudanese Pound down 87.5%