FX

Lagarde Was Adamant On Thursday That High Inflation Would Not Seep Into Wages, But Inflation And Rates Markets Are Not Convinced

The significant drop in the euro against the dollar today was a little puzzling considering German rates have been rising sharply, and moves in rates differentials have been very favorable to the euro since the ECB press conference

Published ET

Euro spot rate vs EUR-USD 2Y Swap Rate Differential | Source: Refinitiv

Euro spot rate vs EUR-USD 2Y Swap Rate Differential | Source: Refinitiv

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QUICK DAILY SUMMARY

  • The US Dollar Index is up 0.84% at 94.14 (YTD: +4.62%)
  • Euro down 1.01% at 1.1561 (YTD: -5.3%)
  • Yen down 0.37% at 114.00 (YTD: -9.4%)
  • Onshore Yuan down 0.23% at 6.4050 (YTD: +1.9%)
  • Swiss franc down 0.43% at 0.9156 (YTD: -3.3%)
  • Sterling down 0.78% at 1.3680 (YTD: +0.1%)
  • Canadian dollar down 0.38% at 1.2392 (YTD: +2.8%)
  • Australian dollar down 0.30% at 0.7521 (YTD: -2.2%)
  • NZ dollar down 0.49% at 0.7164 (YTD: -0.3%)

DAILY MACRO DATA RELEASES

  • Australia, Lending and credit, housing credit (including securitizations), Change P/P for Sep 2021 (RBA, Australia) at 0.60 % (vs 0.60 % prior)
  • Australia, Lending and credit, narrow credit, Change P/P for Sep 2021 (RBA, Australia) at 0.60 % (vs 0.60 % prior), in line with consensus estimate
  • Australia, Producer Prices, SOP, final, total, Change P/P, Price Index for Q3 2021 (AU Bureau of Stat) at 1.10 % (vs 0.70 % prior)
  • Australia, Producer Prices, SOP, final, total, Change Y/Y, Price Index for Q3 2021 (AU Bureau of Stat) at 2.90 % (vs 2.20 % prior)
  • Australia, Retail Sales, Total, Final, Change P/P for Sep 2021 (AU Bureau of Stat) at 1.30 % (vs -1.70 % prior), above consensus estimate of 0.20 %
  • Austria, GDP, Preliminary, Change P/P for Q3 2021 (Statistics Austria) at 3.30 % (vs 3.60 % prior), above consensus estimate of 2.50 %
  • Brazil, Public Sector, Deficit/Surplus, Primary, Consolidated public sector, Current Prices for Sep 2021 (Central Bank, Brazil) at 12.93 Bln BRL (vs 16.73 Bln BRL prior), above consensus estimate of 3.00 Bln BRL
  • Canada, GDP, All industries, Change P/P for Aug 2021 (CANSIM, Canada) at 0.40 % (vs -0.10 % prior), below consensus estimate of 0.70 %
  • Canada, Industrial Product Prices, (NAPCS), Industrial product price index, Change P/P, Price Index for Sep 2021 (CANSIM, Canada) at 1.00 % (vs -0.30 % prior)
  • Chile, Production, Manufacturing, Change Y/Y for Sep 2021 (INE, Chile) at 4.30 % (vs 10.60 % prior), above consensus estimate of 3.10 %
  • Colombia, Policy Rates, Intervention Rate for Oct 2021 (Cent Bank, Colombia) at 2.50 % (vs 0.00 % prior), above consensus estimate of 2.25 %
  • Czech Republic, GDP, At purchaser prices, Change P/P for Q3 2021 (CSU, Czech Rep) at 1.40 % (vs 1.00 % prior), below consensus estimate of 1.80 %
  • Czech Republic, GDP, Purchaser prices, Change Y/Y for Q3 2021 (CSU, Czech Rep) at 2.80 % (vs 8.10 % prior), below consensus estimate of 3.20 %
  • Denmark, Unemployment, Rate, Net for Sep 2021 (statbank.dk) at 2.90 % (vs 3.10 % prior)
  • Euro Zone, CPI, Change Y/Y for Oct 2021 (Eurostat) at 4.10 % (vs 3.40 % prior), above consensus estimate of 3.70 %
  • Euro Zone, CPI, Total excluding energy and unprocessed food, Change Y/Y, Price Index for Oct 2021 (Eurostat) at 2.10 % (vs 1.90 % prior), above consensus estimate of 1.90 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change P/P for Q3 2021 (Eurostat) at 2.20 % (vs 0.00 % prior), above consensus estimate of 2.00 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change Y/Y for Q3 2021 (Eurostat) at 3.70 % (vs 0.00 % prior), above consensus estimate of 3.50 %
  • France, GDP, Total growth, Change P/P for Q3 2021 (INSEE, France) at 3.00 % (vs 1.10 % prior), above consensus estimate of 2.10 %
  • France, HICP, Flash, Change Y/Y, Price Index for Oct 2021 (INSEE, France) at 3.20 % (vs 2.70 % prior), above consensus estimate of 3.10 %
  • France, Household consumption, goods, Change P/P for Sep 2021 (INSEE, France) at -0.20 % (vs 1.00 % prior), below consensus estimate of 0.30 %
  • Germany, GDP, Flash, Change P/P for Q3 2021 (Destatis) at 1.80 % (vs 1.60 % prior), below consensus estimate of 2.20 %
  • Germany, GDP, Flash, Change Y/Y for Q3 2021 (Destatis) at 2.50 % (vs 9.80 % prior), above consensus estimate of 2.40 %
  • Italy, CPI, Preliminary, Change P/P, Price Index for Oct 2021 (ISTAT, Italy) at 0.60 % (vs -0.20 % prior), above consensus estimate of 0.40 %
  • Italy, CPI, Preliminary, Change Y/Y for Oct 2021 (ISTAT, Italy) at 2.90 % (vs 2.50 % prior), above consensus estimate of 2.60 %
  • Italy, GDP, Preliminary, Change P/P for Q3 2021 (ISTAT, Italy) at 2.60 % (vs 2.70 % prior), above consensus estimate of 2.00 %
  • Italy, GDP, Preliminary, Change Y/Y for Q3 2021 (ISTAT, Italy) at 3.80 % (vs 17.30 % prior), above consensus estimate of 3.00 %
  • Italy, HICP, Preliminary, Change P/P, Price Index for Oct 2021 (ISTAT, Italy) at 0.80 % (vs 1.30 % prior), in line with consensus estimate
  • Italy, HICP, Preliminary, Change Y/Y, Price Index for Oct 2021 (ISTAT, Italy) at 3.10 % (vs 2.90 % prior), below consensus estimate of 3.20 %
  • Japan, Housing Starts, Change Y/Y for Sep 2021 (MLIT, Japan) at 4.30 % (vs 7.50 % prior), below consensus estimate of 7.50 %
  • Kenya, CPI, Change Y/Y for Oct 2021 (Statistics, Kenya) at 6.45 % (vs 6.91 % prior)
  • Lithuania, GDP, Total, Flash, Change Y/Y for Q3 2021 (Statistics Lithuania) at 4.80 % (vs 7.80 % prior)
  • Norway, Credit indicator (C2), Change Y/Y for Sep 2021 (Norges Bank) at 5.30 % (vs 5.30 % prior)
  • Norway, Labour Market n.i.e, Number of persons unemployed and in labour market measures for Oct 2021 (NAV, Norway) at 85.28 k (vs 89.45 k prior)
  • Norway, Unemployment, Rate for Oct 2021 (NAV, Norway) at 2.20 % (vs 2.40 % prior), below consensus estimate of 2.30 %
  • Portugal, GDP, Total-prelim, Change P/P for Q3 2021 (INE, Portugal) at 2.90 % (vs 4.90 % prior)
  • Portugal, GDP, Total-prelim, Change Y/Y for Q3 2021 (INE, Portugal) at 4.20 % (vs 16.20 % prior)
  • Russia, Unemployment, Rate for Sep 2021 (RosStat, Russia) at 4.30 % (vs 4.40 % prior), below consensus estimate of 4.50 %
  • South Africa, Credit extended to the domestic private sector, total, Change Y/Y for Sep 2021 (SA Reserve Bank) at 1.60 % (vs 1.12 % prior), below consensus estimate of 2.10 %
  • South Africa, Money supply M3, Change Y/Y for Sep 2021 (SA Reserve Bank) at 4.01 % (vs 2.31 % prior)
  • South Africa, Trade Balance Total (Including BELN), Current Prices for Sep 2021 (SARS, South Africa) at 22.24 Bln ZAR (vs 42.40 Bln ZAR prior)
  • Spain, GDP, Change Y/Y for Q3 2021 (INE, Spain) at 2.70 % (vs 17.50 % prior), below consensus estimate of 3.50 %
  • Spain, GDP, early flash estimate, Change P/P for Q3 2021 (INE, Spain) at 2.00 % (vs 1.10 % prior), below consensus estimate of 2.70 %
  • Spain, Retail Sales, Turnover, Change Y/Y for Sep 2021 (INE, Spain) at -0.10 % (vs -0.90 % prior)
  • Switzerland, KOF composite leading indicator for Oct 2021 (KOF, Switzerland) at 110.70 (vs 110.60 prior), above consensus estimate of 108.20
  • Switzerland, Reserves, Official reserve assets, Current Prices for Sep 2021 (Swiss National Bank) at 1,007,560.04 Mln CHF (vs 998,469.13 Mln CHF prior)
  • Taiwan, GDP, Total-prelim, Change Y/Y for Q3 2021 (DGBAS, Taiwan) at 3.80 % (vs 7.43 % prior), below consensus estimate of 4.00 %
  • Thailand, Current Account, Balance, Current Prices for Sep 2021 (Bank of Thailand) at -1.30 Bln USD (vs -2.50 Bln USD prior)
  • Thailand, Current Account, Balance, Trade, Current Prices for Sep 2021 (Bank of Thailand) at 4.00 Bln USD (vs 1.90 Bln USD prior)
  • Thailand, Exports, Total, FOB, Change Y/Y for Sep 2021 (Bank of Thailand) at 17.80 % (vs 8.20 % prior)
  • Thailand, Imports, Total, Balance Of Payment basis, Change Y/Y for Sep 2021 (Bank of Thailand) at 20.40 % (vs 39.60 % prior)
  • United Kingdom, Net lending to individuals, secured on dwellings for Sep 2021 (Bank of England) at 9.52 Bln GBP (vs 5.29 Bln GBP prior), above consensus estimate of 6.00 Bln GBP
  • United Kingdom, Number of loans approved for house purchase total for Sep 2021 (Bank of England) at 72.65 k (vs 74.45 k prior), above consensus estimate of 70.95 k
  • United Kingdom, changes (excluding the Student Loans Company) unsecured lending to individuals for Sep 2021 (Bank of England) at 0.23 Bln GBP (vs 0.35 Bln GBP prior), below consensus estimate of 0.45 Bln GBP
  • United States, Change P/P for Sep 2021 (BEA, US Dept. Of Com) at -1.00 % (vs 0.20 % prior), below consensus estimate of -0.20 %
  • United States, Chicago PMI, Total Business Barometer for Oct 2021 (MNI Indicators) at 68.40 (vs 64.70 prior), above consensus estimate of 63.50
  • United States, Labour Cost, Employment cost index, total compensation, Change P/P for Q3 2021 (BLS, U.S Dep. Of Lab) at 1.30 % (vs 0.70 % prior), above consensus estimate of 0.90 %
  • United States, Personal Consumption Expenditure, Change P/P for Sep 2021 (BEA, US Dept. Of Com) at 0.60 % (vs 0.80 % prior), above consensus estimate of 0.50 %
  • United States, Personal Consumption Expenditure, Change P/P for Sep 2021 (BEA, US Dept. Of Com) at 0.30 % (vs 0.40 % prior)
  • United States, Personal Consumption Expenditure, Personal consumption expenditures less food and energy, Change P/P for Sep 2021 (BEA, US Dept. Of Com) at 0.20 % (vs 0.30 % prior), in line with consensus estimate
  • United States, University of Michigan, Consumer Sentiment Index, Volume Index for Oct 2021 (UMICH, Survey) at 71.70 (vs 71.40 prior), above consensus estimate of 71.40
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: -5.1 bp at 157.8 bp (YTD change: +46.7 bp)
  • US-JAPAN: +0.2 bp at 127.2 bp (YTD change: +78.9 bp)
  • US-CHINA: 0.0 bp at -163.2 bp (YTD change: +93.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -17.2 bp at 76.5 bp (YTD change: +30.4bp)
  • US-JAPAN: -1.9 bp at -64.9 bp (YTD change: +36.6bp)
  • JAPAN-GERMANY: -15.3 bp at 141.4 bp (YTD change: -6.2bp)
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 6.21, up 0.03 (YTD: -0.96)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.00, up 0.2 (YTD: -1.7)
  • Japanese Yen 1M ATM IV unchanged at 6.26 (YTD: +0.2)
  • Offshore Yuan 1M ATM IV unchanged at 3.55 (YTD: -2.4)
CNH EUR JPY 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataCNH EUR JPY 1-Month 25-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

WEEKLY IMM NET SPEC POSITIONING DATA

  • All currencies: reduction in net long US$ positioning
  • G10: reduction in net long US$ positioning
  • Emerging: increase in net long US$ positioning
  • Euro: reduction in net long US$ positioning
  • Japanese Yen: increase in net long US$ positioning
  • UK Pound Sterling: increase in net short 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: increase in net short US$ positioning
  • Brazilian Real: increase in net long US$ positioning
  • Russian Rouble: reduced their net short US$ positioning
  • Mexican Peso: increase in net long US$ positioning

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Argentina (rated CCC): up 133.9 basis points to 2,455 bp (1Y range: 1,071-2,374bp)
  • Brazil (rated BB-): up 12.6 basis points to 246 bp (1Y range: 141-235bp)
  • Mexico (rated BBB-): up 3.1 basis points to 102 bp (1Y range: 79-127bp)
  • Colombia (rated BB+): up 4.5 basis points to 161 bp (1Y range: 83-175bp)
  • Peru (rated BBB): up 2.5 basis points to 93 bp (1Y range: 52-105bp)
  • Chile (rated A-): up 1.8 basis points to 87 bp (1Y range: 43-89bp)
  • Russia (rated BBB): up 1.5 basis points to 81 bp (1Y range: 72-117bp)
  • Indonesia (rated BBB): up 1.5 basis points to 81 bp (1Y range: 66-97bp)
  • South Africa (rated BB-): up 3.0 basis points to 211 bp (1Y range: 178-279bp)
  • Panama (rated BBB-): up 1.1 basis points to 93 bp (1Y range: 44-93bp)

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

LARGEST FX MOVES TODAY

  • Haiti Gourde up 3.7% (YTD: -24.9%)
  • Bosnian Mark down 1.0% (YTD: -5.8%)
  • Romanian Leu down 1.0% (YTD: -6.9%)
  • Danish Krone down 1.0% (YTD: -5.3%)
  • Sao Tome Dobra down 1.0% (YTD: +6.4%)
  • Bulgarian Lev down 1.0% (YTD: -5.4%)
  • Algerian Dinar down 1.1% (YTD: -4.1%)
  • Iceland Krona down 1.2% (YTD: -1.5%)
  • Norwegian Krone down 1.3% (YTD: +1.6%)
  • Pacific Franc down 1.4% (YTD: -5.9%)

LARGEST FX MOVES THIS WEEK

  • Haiti Gourde up 4.6% (YTD: -24.9%)
  • Pakistani rupee up 2.1% (YTD: -6.1%)
  • Myanmar Kyat down 1.9% (YTD: -29.3%)
  • Mexican Peso down 1.8% (YTD: -3.2%)
  • Venezuela Bolivar up 2.4% (YTD: -74.6%)
  • Namibian Dollar down 3.2% (YTD: -3.4%)
  • South Africa Rand down 3.3% (YTD: -3.4%)
  • Swaziland Lilageni down 3.4% (YTD: -3.6%)
  • Lesotho Loti down 3.5% (YTD: -3.6%)
  • Seychelles rupee up 8.7% (YTD: +42.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 42.3%
  • Turkish Lira down 22.6%
  • Haiti Gourde down 24.9%
  • Myanmar Kyat down 29.3%
  • Surinamese dollar down 34.1%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 74.6%
  • Sudanese Pound down 87.5%