FX

Risk-On Moves In FX, With The Aussie Dollar Leading the Way Among Major Currencies

Sovereign credit spreads were down for Russia, Turkey, Brazil, South Africa, allowing EM currencies to make significant gains today: BRL up 2%, RUB up 1%, ZAR up 1%

Published ET

Russia & Brazil 5Y USD CDS Spreads | Source: Refinitiv

Russia & Brazil 5Y USD CDS Spreads | Source: Refinitiv

Twitter iconFacebook iconLinkedIn iconemail iconWhatsApp icon

QUICK SUMMARY

  • The US Dollar Index is down -0.12% at 95.62 (YTD: -0.04%)
  • Euro up 0.25% at 1.1353 (YTD: -0.1%)
  • Yen up 0.29% at 114.29 (YTD: +0.7%)
  • Onshore Yuan up 0.12% at 6.3453 (YTD: +0.2%)
  • Swiss franc up 0.21% at 0.9151 (YTD: -0.3%)
  • Sterling up 0.21% at 1.3622 (YTD: +0.7%)
  • Canadian dollar up 0.04% at 1.2510 (YTD: +1.0%)
  • Australian dollar up 0.68% at 0.7231 (YTD: -0.4%)
  • NZ dollar unchanged at 0.6769 (YTD: -0.8%)

MACRO DATA RELEASES

  • Canada, CPI, All items, Change P/P, Price Index for Dec 2021 (CANSIM, Canada) at -0.10 % (vs 0.20 % prior), in line with consensus
  • Canada, CPI, All items, Change Y/Y for Dec 2021 (CANSIM, Canada) at 4.80 % (vs 4.70 % prior), in line with consensus
  • Canada, CPI, Core CPI (Bank of Canada), Change P/P, Price Index for Dec 2021 (CANSIM, Canada) at 0.00 % (vs 0.00 % prior)
  • Canada, CPI, Core CPI (Bank of Canada), Change Y/Y, Price Index for Dec 2021 (CANSIM, Canada) at 4.00 % (vs 3.60 % prior), above consensus estimate of 3.50 %
  • Canada, Wholesale Trade, Sales, all trade groups, Change P/P for Nov 2021 (CANSIM, Canada) at 3.50 % (vs 1.40 % prior), above consensus estimate of 2.70 %
  • Germany, CPI, Final, Change P/P, Price Index for Dec 2021 (Destatis) at 0.50 % (vs 0.50 % prior), in line with consensus
  • Germany, CPI, Final, Change Y/Y, Price Index for Dec 2021 (Destatis) at 5.30 % (vs 5.30 % prior), in line with consensus
  • Germany, HICP, Final, Change P/P, Price Index for Dec 2021 (Destatis) at 0.30 % (vs 0.30 % prior), in line with consensus
  • Germany, HICP, Final, Change Y/Y, Price Index for Dec 2021 (Destatis) at 5.70 % (vs 5.70 % prior), in line with consensus
  • Japan, Exports, Change Y/Y for Dec 2021 (MoF, Japan) at 17.50 % (vs 20.50 % prior), above consensus estimate of 16.00 %
  • Japan, Imports, Change Y/Y for Dec 2021 (MoF, Japan) at 41.10 % (vs 43.80 % prior), below consensus estimate of 42.80 %
  • Japan, Trade Balance, Current Prices for Dec 2021 (MoF, Japan) at -582.40 Bln JPY (vs -955.60 Bln JPY prior), above consensus estimate of -784.10 Bln JPY
  • South Africa, CPI, Urban Areas, Headline, Change P/P, Price Index for Dec 2021 (Statistics, SA) at 0.60 % (vs 0.50 % prior), above consensus estimate of 0.40 %
  • South Africa, CPI, Urban Areas, Headline, Change Y/Y, Price Index for Dec 2021 (Statistics, SA) at 5.90 % (vs 5.50 % prior), above consensus estimate of 5.70 %
  • South Africa, Retail Sales, Change Y/Y for Nov 2021 (Statistics, SA) at 3.30 % (vs 1.80 % prior), above consensus estimate of 1.90 %
  • United Kingdom, CPI, All items (CPI), Change P/P, Price Index for Dec 2021 (ONS, United Kingdom) at 0.50 % (vs 0.70 % prior), above consensus estimate of 0.30 %
  • United Kingdom, CPI, All items (CPI), Change Y/Y for Dec 2021 (ONS, United Kingdom) at 5.40 % (vs 5.10 % prior), above consensus estimate of 5.20 %
  • United Kingdom, Input Prices, Materials and fuel purchased, all manufactured products, Change P/P for Dec 2021 (ONS, United Kingdom) at -0.20 % (vs 1.00 % prior), below consensus estimate of 0.70 %
  • United Kingdom, Input Prices, Materials and fuel purchased, all manufactured products, Change Y/Y for Dec 2021 (ONS, United Kingdom) at 13.50 % (vs 14.30 % prior), below consensus estimate of 13.70 %
  • United Kingdom, Output Prices, All manufactured products, Change P/P, Price Index for Dec 2021 (ONS, United Kingdom) at 0.30 % (vs 0.90 % prior), below consensus estimate of 0.60 %
  • United Kingdom, Output Prices, All manufactured products, Change Y/Y, Price Index for Dec 2021 (ONS, United Kingdom) at 9.30 % (vs 9.10 % prior), below consensus estimate of 9.40 %
  • United Kingdom, Output Prices, Manufacturing other than food, beverages, tobacco and petroleum products, Change P/P, Price Index for Dec 2021 (ONS, United Kingdom) at 0.50 % (vs 0.80 % prior)
  • United Kingdom, Output Prices, Manufacturing other than food, beverages, tobacco and petroleum products, Change Y/Y, Price Index for Dec 2021 (ONS, United Kingdom) at 8.70 % (vs 7.90 % prior)
  • United Kingdom, Retail Prices, All items (RPI), Change P/P for Dec 2021 (ONS, United Kingdom) at 1.10 % (vs 0.70 % prior), above consensus estimate of 0.70 %
  • United Kingdom, Retail Prices, All items (RPI), Change Y/Y for Dec 2021 (ONS, United Kingdom) at 7.50 % (vs 7.10 % prior), above consensus estimate of 7.10 %
  • United Kingdom, Retail Prices, All items excluding mortgage interest payments (RPIX), Change Y/Y for Dec 2021 (ONS, United Kingdom) at 7.70 % (vs 7.20 % prior)
  • United States, Building Permits for Dec 2021 (U.S. Census Bureau) at 1.87 Mln (vs 1.72 Mln prior), above consensus estimate of 1.70 Mln
  • United States, Housing Starts for Dec 2021 (U.S. Census Bureau) at 1.70 Mln (vs 1.68 Mln prior), above consensus estimate of 1.65 Mln
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & DX 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.3 bp at 198.3 bp (YTD change: +26.2 bp)
  • US-JAPAN: -1.3 bp at 168.3 bp (YTD change: +33.6 bp)
  • US-CHINA: +2.7 bp at -78.0 bp (YTD change: +51.2 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +2.2 bp at 116.2 bp (YTD change: +33.0bp)
  • US-JAPAN: +3.0 bp at -12.2 bp (YTD change: +58.6bp)
  • JAPAN-GERMANY: -0.8 bp at 128.4 bp (YTD change: -25.6bp)
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 6.41, up 0.14 (YTD: +0.30)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.50, down -0.3 (YTD: +0.5)
  • Japanese Yen 1M ATM IV unchanged at 6.08 (YTD: +1.9)
  • Offshore Yuan 1M ATM IV currently at 3.00, down -0.1 (YTD: -0.3)
  • No major directional bias in 1M risk reversals
EUR CNH JPY 1M ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataEUR CNH JPY Skew In 1-Month 25-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Russia (rated BBB): down 19.1 basis points to 177 bp (1Y range: 75-196bp)
  • Egypt (rated B+): down 15.4 basis points to 546 bp (1Y range: 283-573bp)
  • Turkey (rated BB-): down 13.5 basis points to 539 bp (1Y range: 282-614bp)
  • South Africa (rated BB-): down 8.0 basis points to 207 bp (1Y range: 178-246bp)
  • Brazil (rated BB-): down 6.2 basis points to 220 bp (1Y range: 148-266bp)
  • Mexico (rated BBB-): down 3.0 basis points to 97 bp (1Y range: 80-124bp)
  • Malaysia (rated BBB+): down 2.7 basis points to 54 bp (1Y range: 36-64bp)
  • Peru (rated BBB): down 2.5 basis points to 78 bp (1Y range: 54-105bp)
  • Chile (rated A-): down 2.4 basis points to 79 bp (1Y range: 43-95bp)
  • Vietnam (rated BB): down 2.0 basis points to 105 bp (1Y range: 89-112bp)

null

LARGEST FX MOVES TODAY

  • Brazilian Real up 2.4% (YTD: +2.4%)
  • Fiji Dollar up 1.4% (YTD: +0.8%)
  • South Africa Rand up 1.2% (YTD: +4.5%)
  • Russian Rouble up 1.2% (YTD: -1.8%)
  • Chilean Peso up 1.1% (YTD: +5.4%)
  • Colombian Peso up 1.1% (YTD: +1.9%)
  • Tunisian Dinar down 1.0% (YTD: -0.3%)
  • Solomon Is Dollar down 1.1% (YTD: -0.8%)
  • Vanuatu Vatu down 1.1% (YTD: -0.3%)
  • Zimbabwe Dollar down 3.7% (YTD: -3.7%)

YTD BIGGEST WINNERS & LOSERS

  • Chilean Peso up 5.4%
  • South Africa Rand up 4.5%
  • Lesotho Loti up 4.2%
  • Namibian Dollar up 4.2%
  • Swaziland Lilangeni up 4.2%
  • Angolan Kwanza up 4.1%
  • Liberian Dollar down 3.9%
  • Surinamese dollar down 4.0%
  • Gambian Dalasi down 4.2%
  • Seychelles rupee down 10.7%