FX

Moves In Major Currencies Quite Limited Today, Offshore Yuan Volatility Contained Despite Widening In Credit Spreads

The Australian and New Zealand Dollars fell as economic growth and demand for commodities in China look weaker, and monetary tightening in the US to deal with inflation is also likely to come at the expense of forward GDP growth

Published ET

1-Month 10-Delta Risk Reversals Not Showing Any Sign of Stress | Sources: ϕpost, Refinitiv data

1-Month 10-Delta Risk Reversals Not Showing Any Sign of Stress | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.07% at 93.99 (YTD: +4.46%)
  • Euro up 0.03% at 1.1589 (YTD: -5.1%)
  • Yen up 0.35% at 112.79 (YTD: -8.5%)
  • Onshore Yuan up 0.02% at 6.3916 (YTD: +2.1%)
  • Swiss franc up 0.15% at 0.9110 (YTD: -2.9%)
  • Sterling down 0.04% at 1.3556 (YTD: -0.9%)
  • Canadian dollar up 0.02% at 1.2441 (YTD: +2.4%)
  • Australian dollar down 0.69% at 0.7369 (YTD: -4.2%)
  • NZ dollar down 0.61% at 0.7121 (YTD: -0.9%)

MACRO DATA RELEASES

  • Argentina, Production, Change Y/Y, Price Index for Sep 2021 (INDEC, Argentina) at 10.10 % (vs 13.80 % prior)
  • Germany, Exports, Change P/P for Sep 2021 (Deutsche Bundesbank) at -0.70 % (vs -1.20 % prior), below consensus estimate of 0.00 %
  • Germany, Imports, Change P/P for Sep 2021 (Deutsche Bundesbank) at 0.10 % (vs 3.50 % prior), below consensus estimate of 0.60 %
  • Germany, Trade Balance for Sep 2021 (Deutsche Bundesbank) at 13.20 Bln EUR (vs 13.00 Bln EUR prior), below consensus estimate of 13.60 Bln EUR
  • Germany, ZEW, Current Economic Situation, Germany, balance for Nov 2021 (ZEW, Germany) at 12.50 (vs 21.60 prior), below consensus estimate of 18.00
  • Germany, ZEW, Economic Expectations, Germany, balance for Nov 2021 (ZEW, Germany) at 31.70 (vs 22.30 prior), above consensus estimate of 20.00
  • Hungary, CPI, All Items, Change Y/Y, Price Index for Oct 2021 (HCSO, Hungary) at 6.50 % (vs 5.50 % prior), above consensus estimate of 6.00 %
  • Malaysia, Production, Total industry, Change Y/Y for Sep 2021 (Statistics, Malaysia) at 2.50 % (vs -0.70 % prior), above consensus estimate of 1.90 %
  • Mexico, CPI, Change P/P, Price Index for Oct 2021 (INEGI, Mexico) at 0.84 % (vs 0.62 % prior), above consensus estimate of 0.78 %
  • Mexico, CPI, Change Y/Y, Price Index for Oct 2021 (INEGI, Mexico) at 6.24 % (vs 6.00 % prior), above consensus estimate of 6.18 %
  • Mexico, CPI, Core CPI, Change P/P, Price Index for Oct 2021 (INEGI, Mexico) at 0.49 % (vs 0.46 % prior), above consensus estimate of 0.47 %
  • Philippines, GDP, Change P/P for Q3 2021 (PSA) at 3.80 % (vs -1.30 % prior), above consensus estimate of 1.20 %
  • Philippines, GDP, Change Y/Y for Q3 2021 (PSA) at 7.10 % (vs 11.80 % prior), above consensus estimate of 4.80 %
  • Romania, Policy Rates, Policy Rate for 09 Nov (Cent. Bank, Romania) at 1.75 % (vs 1.50 % prior), below consensus estimate of 2.00 %
  • Serbia, Policy Rates, RS Benchmark Interest Rate, Change P/P for Nov 2021 (NBS, Serbia) at 1.00 % (vs 1.00 % prior), in line with consensus
  • Slovakia, Trade Balance, Total, FOB, Current Prices for Sep 2021 (Stat Office of SR) at -75.80 Mln EUR (vs -146.20 Mln EUR prior), below consensus estimate of 176.30 Mln EUR
  • Sweden, Industrial Production , Change Y/Y for Sep 2021 (SCB, Sweden) at 3.90 % (vs 0.80 % prior)
  • Sweden, Industrial Production, Change M/M, Volume Index for Sep 2021 (SCB, Sweden) at 0.30 % (vs -3.70 % prior)
  • Sweden, Private Sector Production, Change M/M, Volume Index for Sep 2021 (SCB, Sweden) at 1.90 % (vs -4.70 % prior)
  • Sweden, Private Sector Production, Change Y/Y for Sep 2021 (SCB, Sweden) at 6.00 % (vs 3.40 % prior)
  • United States, Producer Prices, Final demand less foods and energy, Change P/P for Oct 2021 (BLS, U.S Dep. Of Lab) at 0.40 % (vs 0.20 % prior), below consensus estimate of 0.50 %
  • United States, Producer Prices, Final demand less foods and energy, Change Y/Y for Oct 2021 (BLS, U.S Dep. Of Lab) at 6.80 % (vs 6.80 % prior), in line with consensus
  • United States, Producer Prices, Final demand, Change P/P for Oct 2021 (BLS, U.S Dep. Of Lab) at 0.60 % (vs 0.50 % prior), in line with consensus
  • United States, Producer Prices, Final demand, Change Y/Y for Oct 2021 (BLS, U.S Dep. Of Lab) at 8.60 % (vs 8.60 % prior), below consensus estimate of 8.70 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-Month ATM Implied Vol | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.9 bp at 168.6 bp (YTD change: +57.5 bp)
  • US-JAPAN: -2.9 bp at 119.3 bp (YTD change: +71.0 bp)
  • US-CHINA: -4.0 bp at -162.9 bp (YTD change: +94.2 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -3.3 bp at 85.3 bp (YTD change: +39.2bp)
  • US-JAPAN: -6.6 bp at -78.7 bp (YTD change: +22.8bp)
  • JAPAN-GERMANY: +3.3 bp at 164.0 bp (YTD change: +16.4bp)
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 6.14, up 0.03 (YTD: -1.03)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.90, up 0.2 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 5.88, up 0.2 (YTD: -0.2)
  • Offshore Yuan 1M ATM IV currently at unchanged 3.30 (YTD: -2.7)
CNH EUR JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataCNH Spot Rate & 1-month 10-delta risk reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Philippines (rated BBB): up 3.4 basis points to 65 bp (1Y range: 33-65bp)
  • Malaysia (rated BBB+): up 2.7 basis points to 60 bp (1Y range: 33-64bp)
  • Russia (rated BBB): up 2.7 basis points to 82 bp (1Y range: 72-117bp)
  • China (rated A+): up 1.6 basis points to 56 bp (1Y range: 27-58bp)
  • South Africa (rated BB-): up 5.1 basis points to 194 bp (1Y range: 178-241bp)
  • Indonesia (rated BBB): up 1.8 basis points to 85 bp (1Y range: 66-94bp)
  • Vietnam (rated BB): up 2.0 basis points to 104 bp (1Y range: 89-112bp)
  • Morocco (rated BB+): down 2.7 basis points to 89 bp (1Y range: 84-108bp)
  • Oman (rated BB-): down 7.3 basis points to 230 bp (1Y range: 223-418bp)
  • Bahrain (rated B+): down 12.4 basis points to 267 bp (1Y range: 159-314bp)

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

LARGEST FX MOVES TODAY

  • Chilean Peso up 1.2% (YTD: -10.4%)
  • Brazilian Real up 1.2% (YTD: -5.2%)
  • Gibraltar Pound up 0.6% (YTD: -0.4%)
  • New Zealand $ down 0.5% (YTD: -0.9%)
  • Australian Dollar down 0.6% (YTD: -4.2%)
  • Lao Kip down 0.6% (YTD: -11.7%)
  • Angolan Kwanza down 0.7% (YTD: +8.8%)
  • South Africa Rand down 0.7% (YTD: -2.4%)
  • Malawi Kwacha down 0.8% (YTD: -4.7%)
  • Jamaican Dollar down 0.9% (YTD: -8.2%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 63.1%
  • Turkish Lira down 23.6%
  • Haiti Gourde down 26.1%
  • Myanmar Kyat down 29.3%
  • Surinamese dollar down 34.1%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 75.0%