FX

The US Dollar Weakens Against the Yen And The Euro; ECB Keeps Rates Unchanged But Lagarde Hypes Inflation, Leading Short Rates Higher

As expected, the Brazilian Real fell further as the market found the SELIC rate hike an insufficient premium for the current local macro risks; the central bank will now likely have to increase interest rates to 9.25% by year-end 2021 and 11.5% by year-end 2022

Published ET

Euro spot rate vs EUR-USD 1Y Forward 1Y Rates Differential | Source: Refinitiv

Euro spot rate vs EUR-USD 1Y Forward 1Y Rates Differential | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.53% at 93.36 (YTD: +3.75%)
  • Euro up 0.67% at 1.1682 (YTD: -4.3%)
  • Yen up 0.25% at 113.51 (YTD: -9.1%)
  • Onshore Yuan up 0.03% at 6.3917 (YTD: +2.1%)
  • Swiss franc up 0.75% at 0.9110 (YTD: -2.8%)
  • Sterling up 0.33% at 1.3792 (YTD: +0.9%)
  • Canadian dollar unchanged at 1.2354 (YTD: +3.1%)
  • Australian dollar up 0.19% at 0.7528 (YTD: -2.2%)
  • NZ dollar up 0.15% at 0.7176 (YTD: -0.1%)

MACRO DATA RELEASES

  • Belgium, GDP, Change P/P for Q3 2021 (NBB, Belgium) at 1.80 % (vs 1.70 % prior), in line with consensus estimate
  • Brazil, Composite Index, IGP-M inflation, Change P/P, Price Index for Oct 2021 (FGV, Brazil) at 0.64 % (vs -0.64 % prior), above consensus estimate of 0.17 %
  • Egypt, Policy Rates, Overnight Deposit Rate for 01 Nov (Central Bank, Egypt) at 8.25 % (vs 8.25 % prior), in line with consensus estimate
  • Egypt, Policy Rates, Overnight Lending Rate for 01 Nov (Central Bank, Egypt) at 9.25 % (vs 9.25 % prior), in line with consensus estimate
  • Euro Zone, All Respondents, Total, Consumer Confidence Indicator, Balance for Oct 2021 (DG ECFIN, France) at -4.80 (vs -4.80 prior)
  • Euro Zone, Policy Rates, ECB Deposit Rate for Oct 2021 (ECB) at -0.50 % (vs -0.50 % prior), in line with consensus estimate
  • Euro Zone, Policy Rates, ECB Main refinancing, Fixed Rate (Announcement Dates) for Oct 2021 (ECB) at 0.00 % (vs 0.00 % prior), in line with consensus estimate
  • Germany, CPI, Flash, Change Y/Y, Price Index for Oct 2021 (Destatis) at 4.50 % (vs 4.10 % prior), above consensus estimate of 4.40 %
  • Germany, HICP, Flash, Change Y/Y, Price Index for Oct 2021 (Destatis) at 4.60 % (vs 4.10 % prior), above consensus estimate of 4.50 %
  • Germany, Unemployment, Change, Absolute change for Oct 2021 (Deutsche Bundesbank) at -39.00 k (vs -30.00 k prior), below consensus estimate of -20.00 k
  • Germany, Unemployment, Rate, Registered for Oct 2021 (Deutsche Bundesbank) at 5.40 % (vs 5.50 % prior), in line with consensus estimate
  • Japan, CPI, Tokyo, All Items, General, Change Y/Y for Oct 2021 (MIC, Japan) at 0.10 % (vs 0.30 % prior)
  • Japan, CPI, Tokyo, All Items, Less fresh food, Change Y/Y for Oct 2021 (MIC, Japan) at 0.10 % (vs 0.10 % prior), below consensus estimate of 0.30 %
  • Japan, Labour Market n.i.e, Active opening rate for Sep 2021 () at 1.16 (vs 1.14 prior), above consensus estimate of 1.14
  • Japan, Policy Rates, BoJ Policy Rate Balance for 28 Oct (Bank of Japan) at -0.10 % (vs -0.10 % prior), in line with consensus estimate
  • Japan, Production, Mining and manufacturing, preliminary, Change P/P for Sep 2021 (METI, Japan) at -5.40 % (vs -3.60 % prior), below consensus estimate of -3.20 %
  • Japan, Unemployment, Rate for Sep 2021 (MIC, Japan) at 2.80 % (vs 2.80 % prior), in line with consensus estimate
  • Sweden, GDP, GDP at market prices, Change Y/Y for Q3 2021 (SCB, Sweden) at 4.70 % (vs 9.70 % prior)
  • Sweden, GDP, Total at market prices, Change P/P for Q3 2021 (SCB, Sweden) at 1.80 % (vs 0.90 % prior), above consensus estimate of 1.30 %
  • United States, GDP, Total-adv, Change P/P for Q3 2021 (BEA, US Dept. Of Com) at 2.00 % (vs 6.70 % prior), below consensus estimate of 2.70 %
  • United States, Jobless Claims, National, Initial for W 23 Oct (U.S. Dept. of Labor) at 281.00 k (vs 290.00 k prior), below consensus estimate of 290.00 k
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & DX 1-Month ATM IV | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.1 bp at 162.9 bp (YTD change: +51.8 bp)
  • US-JAPAN: +4.4 bp at 127.0 bp (YTD change: +78.7 bp)
  • US-CHINA: +3.8 bp at -163.2 bp (YTD change: +93.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.5 bp at 93.7 bp (YTD change: +47.6bp)
  • US-JAPAN: +11.2 bp at -63.0 bp (YTD change: +38.5bp)
  • JAPAN-GERMANY: -9.7 bp at 156.7 bp (YTD change: +9.1bp)
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 6.18, up 0.08 (YTD: -0.99)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.83, down -0.1 (YTD: -1.9)
  • Japanese Yen 1M ATM IV currently at 6.23, up 0.1 (YTD: +0.1)
  • Offshore Yuan 1M ATM IV currently at 3.55, down -0.2 (YTD: -2.4)
CNH EUR JPY 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataCNH EUR JPY Skew In 1-month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB): up 5.8 basis points to 90 bp (1Y range: 52-105bp)
  • Mexico (rated BBB-): up 3.1 basis points to 99 bp (1Y range: 79-127bp)
  • Colombia (rated BB+): up 4.5 basis points to 156 bp (1Y range: 83-175bp)
  • Brazil (rated BB-): up 5.3 basis points to 234 bp (1Y range: 141-235bp)
  • Vietnam (rated BB): up 1.6 basis points to 99 bp (1Y range: 89-123bp)
  • Philippines (rated BBB): up 0.7 basis points to 56 bp (1Y range: 33-65bp)
  • Chile (rated A-): up 1.1 basis points to 85 bp (1Y range: 43-89bp)
  • Indonesia (rated BBB): up 0.9 basis points to 79 bp (1Y range: 66-97bp)
  • Russia (rated BBB): up 0.9 basis points to 79 bp (1Y range: 72-117bp)
  • Turkey (rated BB-): up 4.7 basis points to 444 bp (1Y range: 282-560bp)

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

LARGEST FX MOVES TODAY

  • Solomon Island Dollar up 2.1% (YTD: -0.7%)
  • Philippine Peso up 1.5% (YTD: -3.9%)
  • Hungarian Forint up 1.2% (YTD: -4.0%)
  • Pakistani rupee up 1.0% (YTD: -6.6%)
  • Cape Verde Escudo up 1.0% (YTD: -0.9%)
  • Jamaican Dollar up 0.9% (YTD: -7.2%)
  • Haiti Gourde down 1.1% (YTD: -27.6%)
  • Venezuela Bolivar down 1.5% (YTD: -74.7%)
  • Brazilian Real down 1.9% (YTD: -8.0%)
  • Tonga Pa'Anga down 2.0% (YTD: +2.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles Rupee up 54.6%
  • New Zambian Kwacha up 22.7%
  • Haiti Gourde down 27.6%
  • Myanmar Kyat down 29.3%
  • Surinamese dollar down 34.0%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 74.7%
  • Sudanese Pound down 87.5%