FX

The US Dollar Index Rebounds As Global Markets Adjust Their Rate Hikes Expectations

The Australian dollar fell hard as the RBA pushed back against market pricing of rate hikes (market consensus sees AUD rates liftoff in 2Q2023), saying it was ready to be patient, despite giving up on trying to control the yield curve

Published ET

Australian Dollar And 3-Month AUD Interest Rate Future Exp. March 2023 (YBAH3) | Source: Refinitiv

Australian Dollar And 3-Month AUD Interest Rate Future Exp. March 2023 (YBAH3) | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.21% at 94.10 (YTD: +4.58%)
  • Euro down 0.26% at 1.1576 (YTD: -5.2%)
  • Yen up 0.02% at 113.95 (YTD: -9.4%)
  • Onshore Yuan down 0.04% at 6.3995 (YTD: +2.0%)
  • Swiss franc down 0.62% at 0.9149 (YTD: -3.2%)
  • Sterling down 0.43% at 1.3613 (YTD: -0.4%)
  • Canadian dollar down 0.38% at 1.2418 (YTD: +2.6%)
  • Australian dollar down 1.28% at 0.7428 (YTD: -3.5%)
  • NZ dollar down 0.93% at 0.7114 (YTD: -1.0%)

MACRO DATA RELEASES

  • Australia, Policy Rates, Cash Target Rate for Nov 2021 (RBA, Australia) at 0.10 % (vs 0.10 % prior), in line with consensus estimate
  • Canada, Building Permits, Total residential and non-residential, Change P/P for Sep 2021 (CANSIM, Canada) at 4.30 % (vs -2.10 % prior), above consensus estimate of 3.10 %
  • Chile, IMACEC, Change Y/Y for Sep 2021 (Central Bank, Chile) at 15.60 % (vs 19.10 % prior), above consensus estimate of 12.30 %
  • Chile, Unemployment, Rate for Sep 2021 (INE, Chile) at 8.40 % (vs 8.50 % prior)
  • Euro Zone, PMI, Manufacturing Sector, Total, Final for Oct 2021 (Markit Economics) at 58.30 (vs 58.50 prior), below consensus estimate of 58.50
  • France, PMI, Manufacturing Sector, Total, Final for Oct 2021 (Markit Economics) at 53.60 (vs 53.50 prior), above consensus estimate of 53.50
  • Germany, PMI, Manufacturing Sector, Total, Final for Oct 2021 (Markit Economics) at 57.80 (vs 58.20 prior), below consensus estimate of 58.20
  • Italy, PMI, Manufacturing Sector for Oct 2021 (Markit Economics) at 61.10 (vs 59.70 prior), above consensus estimate of 59.70
  • New Zealand, Activity, Participation Rate for Q3 2021 (Statistics, NZ) at 71.20 % (vs 70.50 % prior), above consensus estimate of 70.60 %
  • New Zealand, Employment, Change P/P for Q3 2021 (Statistics, NZ) at 2.00 % (vs 1.00 % prior), above consensus estimate of 0.40 %
  • New Zealand, Labour Cost, Ordinary time wage rates, Private sector, Change P/P, Price Index for Q3 2021 (Statistics, NZ) at 0.70 % (vs 0.90 % prior), below consensus estimate of 0.80 %
  • New Zealand, Labour Cost, Ordinary time wage rates, Private sector, Change Y/Y for Q3 2021 (Statistics, NZ) at 2.50 % (vs 2.20 % prior), below consensus estimate of 2.60 %
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 02 Nov (GlobalDairy Trade) at 4,207.00 USD (vs 4,061.00 USD prior)
  • New Zealand, Unemployment, Rate for Q3 2021 (Statistics, NZ) at 3.40 % (vs 4.00 % prior), below consensus estimate of 3.90 %
  • Philippines, IHS Markit, IHS, Manufacturring PMI, SA for Oct 2021 (Markit Economics) at 51.00 (vs 50.90 prior)
  • Poland, PMI, Manufacturing Sector for Oct 2021 (Markit Economics) at 53.80 (vs 53.40 prior), above consensus estimate of 53.00
  • Spain, PMI, Manufacturing Sector for Oct 2021 (Markit Economics) at 57.40 (vs 58.10 prior), below consensus estimate of 58.10
  • Switzerland, CPI, Change P/P, Price Index for Oct 2021 (FSO, Switzerland) at 0.30 % (vs 0.00 % prior), above consensus estimate of 0.10 %
  • Switzerland, CPI, Change Y/Y, Price Index for Oct 2021 (FSO, Switzerland) at 1.20 % (vs 0.90 % prior), above consensus estimate of 1.10 %
  • Switzerland, Retail Sales, Total, excluding motor vehicles and fuels, Change Y/Y for Sep 2021 (FSO, Switzerland) at 2.50 % (vs 0.50 % prior)
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

ALONG WITH LOWER RATES VOLATILITY, FRA-EONIA AND JPY CURRENCY BASIS SWAPS ARE FALLING

FRA EONIA And JPY Currency Basis swaps | Source: Refinitiv

LATEST REUTERS FX POLL FOR THE EURO

  • Goldman Sachs and Deutsche Bank forecasting US Dollar weakness over the next 12 months
  • ING, Danske, BNP Paribas take the other side, see euro weakness

Reuters FX Poll For The Euro | Sources: phipost.com, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.5 bp at 161.8 bp (YTD change: +50.7 bp)
  • US-JAPAN: -2.7 bp at 123.5 bp (YTD change: +75.2 bp)
  • US-CHINA: -1.6 bp at -162.5 bp (YTD change: +94.6 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.5 bp at 86.5 bp (YTD change: +40.4bp)
  • US-JAPAN: -5.3 bp at -66.9 bp (YTD change: +34.6bp)
  • JAPAN-GERMANY: +5.8 bp at 153.4 bp (YTD change: +5.8bp)
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 6.32, down -0.03 (YTD: -0.85)
  • Euro 1-Month At-The-Money Implied Volatility unchanged at 5.00 (YTD: -1.7)
  • Japanese Yen 1M ATM IV currently at 6.41, up 0.1 (YTD: +0.3)
  • Offshore Yuan 1M ATM IV currently at 3.48, down -0.1 (YTD: -2.5)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR CNH JPY Skew In 1-Month 25-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Philippines (rated BBB): up 2.2 basis points to 59 bp (1Y range: 33-65bp)
  • Malaysia (rated BBB+): up 1.8 basis points to 55 bp (1Y range: 33-64bp)
  • Oman (rated BB-): up 7.9 basis points to 246 bp (1Y range: 223-452bp)
  • Indonesia (rated BBB): up 1.8 basis points to 83 bp (1Y range: 66-97bp)
  • Egypt (rated B+): up 4.1 basis points to 456 bp (1Y range: 283-464bp)
  • South Africa (rated BB-): down 2.0 basis points to 210 bp (1Y range: 178-267bp)
  • Peru (rated BBB): down 1.1 basis points to 92 bp (1Y range: 52-105bp)
  • Morocco (rated BB+): down 1.4 basis points to 92 bp (1Y range: 84-108bp)
  • Turkey (rated BB-): down 8.7 basis points to 432 bp (1Y range: 282-557bp)
  • Chile (rated A-): down 1.9 basis points to 84 bp (1Y range: 43-89bp)

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

LARGEST FX MOVES TODAY

  • Myanmar Kyat up 1.9% (YTD: -28.0%)
  • Haiti Gourde up 1.0% (YTD: -26.1%)
  • Pakistani rupee up 0.9% (YTD: -5.8%)
  • Mauritius Rupee down 0.9% (YTD: -8.8%)
  • CFA Franc BCEAO down 0.9% (YTD: -5.9%)
  • New Zealand $ down 1.0% (YTD: -1.0%)
  • Colombian Peso down 1.0% (YTD: -9.8%)
  • Australian Dollar down 1.3% (YTD: -3.5%)
  • Botswana Pula down 1.4% (YTD: -6.7%)
  • Norwegian Krone down 1.4% (YTD: +0.6%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 62.3%
  • New Zambian Kwacha up 22.2%
  • Turkish Lira down 22.6%
  • Haiti Gourde down 26.1%
  • Myanmar Kyat down 28.0%
  • Surinamese dollar down 33.9%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 74.8%
  • Sudanese Pound down 87.5%