FX

Dollar Crosses Follow Moves In Rates Differentials Today, As Euro, Yen Make Decent Gains

Battered emerging market currencies rebounded nicely this week, in line with renewed risk appetite and tighter sovereign credit spreads: the Brazilian real was up 2.5%, the South African rand up 2.4% and the Mexican peso also up 2.4%

Published ET

Japanese Yen Spot Rate vs US-JP Rates Differential (6-Month Rates 18-Month Forward) | Source: Refinitiv

Japanese Yen Spot Rate vs US-JP Rates Differential (6-Month Rates 18-Month Forward) | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.11% at 94.23 (YTD: +4.72%)
  • Euro up 0.12% at 1.1566 (YTD: -5.3%)
  • Yen up 0.31% at 113.40 (YTD: -9.0%)
  • Onshore Yuan down 0.03% at 6.3980 (YTD: +2.0%)
  • Swiss franc up 0.05% at 0.9121 (YTD: -3.0%)
  • Sterling down 0.02% at 1.3495 (YTD: -1.3%)
  • Canadian dollar down 0.06% at 1.2460 (YTD: +2.2%)
  • Australian dollar up 0.03% at 0.7401 (YTD: -3.8%)
  • NZ dollar up 0.20% at 0.7115 (YTD: -1.0%)

MACRO DATA RELEASES

  • Canada, Employment, Absolute change for Oct 2021 (CANSIM, Canada) at 31.20 k (vs 157.10 k prior), below consensus estimate of 50.00 k
  • Canada, PMI, Composite for Oct 2021 (Richard Ivey) at 61.20 (vs 64.50 prior)
  • Canada, PMI, Composite for Oct 2021 (Richard Ivey) at 59.30 (vs 70.40 prior)
  • Canada, Unemployment, Rate for Oct 2021 (CANSIM, Canada) at 6.70 % (vs 6.90 % prior), below consensus estimate of 6.80 %
  • Czech Republic, Retail Sales, Retail trade (incl. retail sale of automotive fuel), Change Y/Y for Sep 2021 (CSU, Czech Rep) at 3.60 % (vs 5.10 % prior), below consensus estimate of 4.90 %
  • Estonia, CPI, Change P/P, Price Index for Oct 2021 (Statistics Estonia) at -0.20 % (vs 1.20 % prior)
  • Estonia, CPI, Change Y/Y, Price Index for Oct 2021 (Statistics Estonia) at 7.00 % (vs 6.60 % prior)
  • Euro Zone, Retail Sales, Turnover, (EA19), Change Y/Y for Sep 2021 (Eurostat) at 2.50 % (vs 0.00 % prior), above consensus estimate of 1.50 %
  • Euro Zone, Retail Sales, Turnover, Retail trade, except of motor vehicles and motorcycles, Deflated turnover (EA19), Change P/P for Sep 2021 (Eurostat) at -0.30 % (vs 0.30 % prior), below consensus estimate of 0.30 %
  • France, Production, Industry excluding construction, Change P/P for Sep 2021 (INSEE, France) at -1.30 % (vs 1.00 % prior), below consensus estimate of 0.00 %
  • Germany, Production, Total industry including construction, Change P/P for Sep 2021 (Destatis) at -1.10 % (vs -4.00 % prior), below consensus estimate of 1.00 %
  • Indonesia, GDP, Change P/P for Q3 2021 (Statistics Indonesia) at 1.55 % (vs 3.31 % prior), below consensus estimate of 1.80 %
  • Indonesia, GDP, Change Y/Y for Q3 2021 (Statistics Indonesia) at 3.51 % (vs 7.07 % prior), below consensus estimate of 3.76 %
  • New Zealand, Reserve Assets, Current Prices for Oct 2021 (RBNZ) at 23,426.00 Mln NZD (vs 22,640.00 Mln NZD prior)
  • Philippines, CPI, Change P/P for Oct 2021 (PSA) at 0.20 % (vs 0.00 % prior), below consensus estimate of 0.48 %
  • Philippines, CPI, Core CPI, Change Y/Y for Oct 2021 (PSA) at 3.40 % (vs 3.30 % prior), in line with consensus
  • Philippines, CPI, Total, inflation rate, Change Y/Y for Oct 2021 (PSA) at 4.60 % (vs 4.80 % prior), below consensus estimate of 4.90 %
  • Spain, Production, Total industry excluding construction, Change Y/Y for Sep 2021 (INE, Spain) at 1.20 % (vs 1.80 % prior), below consensus estimate of 1.50 %
  • Switzerland, Foreign reserves in convertible foreign currencies, Current Prices for Oct 2021 (Swiss National Bank) at 922,975.00 Mln CHF (vs 939,809.00 Mln CHF prior)
  • Taiwan, CPI, Change Y/Y, Price Index for Oct 2021 (DGBAS, Taiwan) at 2.58 % (vs 2.63 % prior), in line with consensus
  • Thailand, CPI, Change Y/Y, Price Index for Oct 2021 (BTEI, Thailand) at 2.38 % (vs 1.68 % prior), above consensus estimate of 1.91 %
  • Thailand, CPI, Core CPI, Change Y/Y, Price Index for Oct 2021 (BTEI, Thailand) at 0.21 % (vs 0.19 % prior), below consensus estimate of 0.30 %
  • United Kingdom, House Prices, Halifax, UK, Change P/P for Oct 2021 at 0.90 % (vs 1.70 % prior)
  • United States, Consumer credit, total, Absolute change for Sep 2021 (FED, U.S.) at 29.91 Bln USD (vs 14.38 Bln USD prior), above consensus estimate of 15.90 Bln USD
  • United States, Earnings, Average Hourly, Nonfarm payrolls, all employees, total private, Change P/P for Oct 2021 (BLS, U.S Dep. Of Lab) at 0.40 % (vs 0.60 % prior), in line with consensus
  • United States, Employment, Nonfarm payroll, total private, Absolute change for Oct 2021 (BLS, U.S Dep. Of Lab) at 604.00 k (vs 317.00 k prior), above consensus estimate of 400.00 k
  • United States, Employment, Nonfarm payroll, total, Absolute change for Oct 2021 (BLS, U.S Dep. Of Lab) at 531.00 k (vs 194.00 k prior), above consensus estimate of 450.00 k
  • United States, Hours Worked, Average Per Week, Nonfarm payrolls, all employees, total private for Oct 2021 (BLS, U.S Dep. Of Lab) at 34.70 hrs (vs 34.80 hrs prior), below consensus estimate of 34.80 hrs
  • United States, Unemployment, Rate for Oct 2021 (BLS, U.S Dep. Of Lab) at 4.60 % (vs 4.80 % prior), below consensus estimate of 4.70 %
FX Performance This Week | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-Month ATM Implied Volatility

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -3.9 bp at 164.1 bp (YTD change: +53.0 bp)
  • US-JAPAN: -4.3 bp at 116.0 bp (YTD change: +67.7 bp)
  • US-CHINA: -2.8 bp at -166.8 bp (YTD change: +90.4 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.8 bp at 89.0 bp (YTD change: +42.9bp)
  • US-JAPAN: -3.1 bp at -71.2 bp (YTD change: +30.3bp)
  • JAPAN-GERMANY: +6.9 bp at 160.2 bp (YTD change: +12.6bp)

US DE JP 10Y Real Yields Differentials | Sources: phipost.com, Refinitiv data

WEEKLY IMM NET SPEC USD POSITIONING

  • 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: reduced their net short US$ positioning
  • Australian Dollar: reduction in net long US$ positioning
  • Swiss Franc: increase in net long US$ positioning
  • Canadian Dollar: increase in net short 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

GLOBAL MACRO RELEASES IN THE WEEK AHEAD

Global Macro Release Week Ahead | Sources: phipost.com, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.15, up 0.04 (YTD: -1.02)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.48, down -0.3 (YTD: -2.2)
  • Japanese Yen 1M ATM IV currently at 5.65, down -0.3 (YTD: -0.4)
  • Offshore Yuan 1M ATM IV currently at 3.15, down -0.2 (YTD: -2.8)
EUR CNH JPY 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataGBP 1-Month Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Malaysia (rated BBB+): up 2.4 basis points to 55 bp (1Y range: 33-64bp)
  • Philippines (rated BBB): up 1.9 basis points to 59 bp (1Y range: 33-65bp)
  • Vietnam (rated BB): up 2.8 basis points to 102 bp (1Y range: 89-116bp)
  • Peru (rated BBB): down 1.6 basis points to 87 bp (1Y range: 52-105bp)
  • Brazil (rated BB-): down 5.7 basis points to 235 bp (1Y range: 141-252bp)
  • Turkey (rated BB-): down 9.9 basis points to 399 bp (1Y range: 282-523bp)
  • Russia (rated BBB): down 2.5 basis points to 82 bp (1Y range: 72-117bp)
  • Mexico (rated BBB-): down 3.2 basis points to 98 bp (1Y range: 79-115bp)
  • South Africa (rated BB-): down 7.1 basis points to 194 bp (1Y range: 178-252bp)
  • Chile (rated A-): down 3.2 basis points to 76 bp (1Y range: 43-89bp)

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

LARGEST FX MOVES TODAY

  • Brazilian Real up 1.1% (YTD: -6.3%)
  • South Africa Rand up 1.0% (YTD: -2.4%)
  • Mexican Peso up 0.9% (YTD: -2.3%)
  • Philippine Peso up 0.8% (YTD: -4.4%)
  • St Helena Pound down 0.8% (YTD: -1.5%)
  • Vanuatu Vatu down 1.1% (YTD: -2.6%)
  • Falklands Pound down 1.2% (YTD: -1.0%)
  • Gibraltar Pound down 1.2% (YTD: -1.0%)
  • Myanmar Kyat down 1.9% (YTD: -29.3%)

LARGEST FX MOVES THIS WEEK

  • Lesotho Loti up 2.5% (YTD: -2.4%)
  • Brazilian Real up 2.5% (YTD: -6.3%)
  • Swaziland Lilangeni up 2.5% (YTD: -2.4%)
  • South Africa Rand up 2.4% (YTD: -2.4%)
  • Mexican Peso up 2.4% (YTD: -2.3%)
  • Namibian Dollar up 1.9% (YTD: -3.0%)
  • Norwegian Krone down 1.8% (YTD: +0.2%)
  • Colombian Peso down 2.9% (YTD: -11.5%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 55.4%
  • Turkish Lira down 23.4%
  • Haiti Gourde down 26.1%
  • Myanmar Kyat down 29.3%
  • Surinamese dollar down 34.1%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.7%
  • Venezuela Bolivar down 74.9%
  • Sudanese Pound down 87.5%