FX

US Dollar Makes Broad Gains Against Global Currencies; Widening Short Rates Differentials Main Driver For Euro, JPY Fall This Week

The Sterling forward rates curve is still pricing in a BOE monetary policy error: a very short hiking cycle that would be over by the end of 2023, followed by a policy reversal (rate cuts) from 2024

Published ET

3-Month GBP LIBOR & EURIBOR Futures Implied Yields | Sources: ϕpost, Refinitiv data

3-Month GBP LIBOR & EURIBOR Futures Implied Yields | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.50% at 95.97 (YTD: +6.65%)
  • Euro down 0.40% at 1.1321 (YTD: -7.3%)
  • Yen down 0.60% at 114.83 (YTD: -10.1%)
  • Onshore Yuan down 0.15% at 6.3919 (YTD: +2.1%)
  • Swiss franc down 0.56% at 0.9299 (YTD: -4.9%)
  • Sterling up 0.10% at 1.3431 (YTD: -1.8%)
  • Canadian dollar down 0.34% at 1.2561 (YTD: +1.4%)
  • Australian dollar down 0.60% at 0.7300 (YTD: -5.1%)
  • NZ dollar down 0.88% at 0.6985 (YTD: -2.8%)

MACRO DATA RELEASES

  • Canada, Housing Starts, All areas for Oct 2021 (CMHC, Canada) at 236.60 k (vs 251.20 k prior), below consensus estimate of 255.00 k
  • Colombia, GDP, Change Y/Y for Q3 2021 (DANE, Colombia) at 12.80 % (vs 17.60 % prior), above consensus estimate of 12.40 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change P/P for Q3 2021 (Eurostat) at 2.20 % (vs 2.20 % prior), in line with consensus
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change Y/Y for Q3 2021 (Eurostat) at 3.70 % (vs 3.70 % prior), in line with consensus
  • France, HICP, Change Y/Y, Price Index for Oct 2021 (INSEE, France) at 3.20 % (vs 3.20 % prior), in line with consensus
  • France, HICP, Final, Change P/P, Price Index for Oct 2021 (INSEE, France) at 0.40 % (vs 0.50 % prior), below consensus estimate of 0.50 %
  • Hungary, Policy Rates, Base Rate for Nov 2021 (Cent. Bank, Hungary) at 2.10 % (vs 1.80 % prior), in line with consensus
  • Hungary, Policy Rates, Overnight Deposite Rate for Nov 2021 (Cent. Bank, Hungary) at 1.15 % (vs 0.85 % prior), in line with consensus
  • Italy, HICP, Final, Change P/P, Price Index for Oct 2021 (ISTAT, Italy) at 0.90 % (vs 0.80 % prior), above consensus estimate of 0.80 %
  • Italy, HICP, Final, Change Y/Y, Price Index for Oct 2021 (ISTAT, Italy) at 3.20 % (vs 3.10 % prior), above consensus estimate of 3.10 %
  • Japan, Exports, Change Y/Y for Oct 2021 (MoF, Japan) at 9.40 % (vs 13.00 % prior), below consensus estimate of 9.90 %
  • Japan, Imports, Change Y/Y for Oct 2021 (MoF, Japan) at 26.70 % (vs 38.60 % prior), below consensus estimate of 31.90 %
  • Japan, New Orders, Machinery , Private, excluding volatile orders, Change P/P for Sep 2021 (Cabinet Office, JP) at 0.00 % (vs -2.40 % prior), below consensus estimate of 1.80 %
  • Japan, New Orders, Machinery , Private, excluding volatile orders, Change Y/Y for Sep 2021 (Cabinet Office, JP) at 12.50 % (vs 17.00 % prior), below consensus estimate of 17.40 %
  • Japan, Trade Balance, Current Prices for Oct 2021 (MoF, Japan) at -67.40 Bln JPY (vs -622.80 Bln JPY prior), above consensus estimate of -310.00 Bln JPY
  • Netherlands, GDP, Total, Flash, Change P/P for Q3 2021 (CBS - NL) at 1.90 % (vs 3.80 % prior), above consensus estimate of 1.70 %
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 16 Nov (GlobalDairy Trade) at 4,287.00 USD (vs 4,207.00 USD prior)
  • United Kingdom, Unemployment, Claimant count, Absolute change for Oct 2021 (ONS, United Kingdom) at -14.90 k (vs -51.10 k prior)
  • United Kingdom, Unemployment, Rate, All aged 16 and over, ILO for Sep 2021 (ONS, United Kingdom) at 4.30 % (vs 4.50 % prior), below consensus estimate of 4.40 %
  • United States, Production, Change P/P for Oct 2021 (FED, U.S.) at 1.60 % (vs -1.30 % prior), above consensus estimate of 0.70 %
  • United States, Retail Sales, Total including food services, Change P/P for Oct 2021 (U.S. Census Bureau) at 1.70 % (vs 0.70 % prior), above consensus estimate of 1.40 %
FX Majors Performance Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +4.5 bp at 183.2 bp (YTD change: +72.1 bp)
  • US-JAPAN: +1.1 bp at 135.3 bp (YTD change: +87.0 bp)
  • US-CHINA: +2.6 bp at -144.0 bp (YTD change: +113.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +5.5 bp at 93.5 bp (YTD change: +47.4bp)
  • US-JAPAN: +2.3 bp at -69.2 bp (YTD change: +32.3bp)
  • JAPAN-GERMANY: +3.2 bp at 162.7 bp (YTD change: +15.1bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv data | Sources: ϕpost, Refinitiv dataUS DE JP 10Y Real Yields DIfferentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.54, up 0.09 (YTD: -0.63)
  • Euro 1-Month At-The-Money Implied Volatility currently at 6.73, up 1.1 (YTD: +0.0)
  • Japanese Yen 1M ATM IV currently at 6.85, up 0.9 (YTD: +0.8)
  • Offshore Yuan 1M ATM IV currently at 3.53, down -0.3 (YTD: -2.5)
EUR CNH JPY 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataEUR CNH JPY Skew In 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Chile (rated A-): up 2.0 basis points to 78 bp (1Y range: 43-89bp)
  • Russia (rated BBB): up 2.4 basis points to 101 bp (1Y range: 72-117bp)
  • Turkey (rated BB-): up 7.3 basis points to 413 bp (1Y range: 282-481bp)
  • South Africa (rated BB-): up 3.1 basis points to 195 bp (1Y range: 178-241bp)
  • Colombia (rated BB+): up 2.2 basis points to 175 bp (1Y range: 83-175bp)
  • Brazil (rated BB-): up 2.5 basis points to 237 bp (1Y range: 141-252bp)
  • China (rated A+): up 0.5 basis points to 52 bp (1Y range: 27-58bp)
  • Vietnam (rated BB): down 1.0 basis points to 101 bp (1Y range: 89-112bp)
  • Oman (rated BB-): down 2.6 basis points to 236 bp (1Y range: 223-416bp)
  • Morocco (rated BB+): down 1.5 basis points to 88 bp (1Y range: 84-108bp)

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

LARGEST FX MOVES TODAY

  • Afghani up 1.1% (YTD: -16.9%)
  • Haiti Gourde up 1.0% (YTD: -26.1%)
  • Comoro Franc down 1.0% (YTD: -7.7%)
  • Swedish Krona down 1.1% (YTD: -7.3%)
  • Tunisian Dinar down 1.2% (YTD: -6.2%)
  • Botswana Pula down 1.3% (YTD: -6.7%)
  • South Africa Rand down 1.8% (YTD: -5.2%)
  • Ethiopian Birr down 1.9% (YTD: -18.6%)
  • Chilean Peso down 1.9% (YTD: -12.5%)
  • Turkish Lira down 2.6% (YTD: -28.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 60.8%
  • Myanmar Kyat down 25.3%
  • Haiti Gourde down 26.1%
  • Turkish Lira down 28.3%
  • Surinamese dollar down 34.0%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.9%
  • Venezuela Bolivar down 75.4%