FX

US Dollar Rises Against The Euro And Yen, In Line With Short Rates Differentials

In EM currencies, the shekel weakened 1% today as the bank of Israel sold the currency in the open market, and the Polish zloty was essentially unchanged after a 50bp rate hike widely anticipated by the market

Published ET

Japanese Yen Spot Rate vs. US-JPY 18x24 Forward Rates Differential | Sources: ϕpost, Refinitiv data

Japanese Yen Spot Rate vs. US-JPY 18x24 Forward Rates Differential | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.21% at 95.63 (YTD: -0.04%)
  • Euro down 0.22% at 1.1417 (YTD: +0.4%)
  • Yen down 0.28% at 115.45 (YTD: -0.3%)
  • Onshore Yuan down 0.01% at 6.3660 (YTD: -0.1%)
  • Swiss franc down 0.12% at 0.9249 (YTD: -1.4%)
  • Sterling up 0.08% at 1.3545 (YTD: +0.1%)
  • Canadian dollar down 0.34% at 1.2711 (YTD: -0.6%)
  • Australian dollar up 0.29% at 0.7146 (YTD: -1.6%)
  • NZ dollar up 0.17% at 0.6643 (YTD: -2.7%)

MACRO DATA RELEASES

  • Argentina, Production, Change Y/Y, Price Index for Dec 2021 (INDEC, Argentina) at 10.10 % (vs 10.10 % prior)
  • Canada, Trade Balance, Total, fob for Dec 2021 (CANSIM, Canada) at -0.14 Bln CAD (vs 3.13 Bln CAD prior), below consensus estimate of 2.50 Bln CAD
  • Chile, CPI, Change P/P, Price Index for Jan 2022 (INE, Chile) at 1.20 % (vs 0.80 % prior), above consensus estimate of 0.60 %
  • Czech Republic, Retail Sales, Retail trade (incl. retail sale of automotive fuel), Change Y/Y for Dec 2021 (CSU, Czech Rep) at 3.30 % (vs 13.20 % prior), below consensus estimate of 7.60 %
  • Czech Republic, Unemployment, Rate for Jan 2022 (MPSV, Czech Republic) at 3.60 % (vs 3.50 % prior), below consensus estimate of 3.70 %
  • Hong Kong, IHS Markit, Whole Economy, Total for Jan 2022 (Markit Economics) at 48.90 (vs 50.80 prior)
  • Hungary, Trade Balance, Preliminary, Current Prices for Dec 2021 (HCSO, Hungary) at 187.00 Mln EUR (vs -76.00 Mln EUR prior), above consensus estimate of -205.00 Mln EUR
  • Malaysia, Production, Total industry, Change Y/Y for Dec 2021 (Statistics, Malaysia) at 5.80 % (vs 9.40 % prior), below consensus estimate of 7.10 %
  • New Zealand, Reserve Assets, Current Prices for Jan 2022 (RBNZ) at 22,234.00 Mln NZD (vs 23,585.00 Mln NZD prior)
  • Poland, Policy Rates, Reference Rate (7-Day NBP Bill Rate) for Feb 2022 (Central Bank, Poland) at 2.75 % (vs 2.25 % prior), 50bp hike in line with consensus
  • Slovakia, Trade Balance, Total, FOB, Current Prices for Dec 2021 (Stat Office of SR) at -255.00 Mln EUR (vs -23.10 Mln EUR prior), below consensus estimate of -167.70 Mln EUR
  • Spain, Production, Total industry excluding construction, Change Y/Y for Dec 2021 (INE, Spain) at 1.30 % (vs 4.80 % prior), below consensus estimate of 4.40 %
  • Sweden, Industrial Production , Change Y/Y for Dec 2021 (SCB, Sweden) at 0.10 % (vs 4.20 % prior)
  • Sweden, Industrial Production, Change M/M, Volume Index for Dec 2021 (SCB, Sweden) at -1.20 % (vs 0.50 % prior)
  • Sweden, Private Sector Production, Change M/M, Volume Index for Dec 2021 (SCB, Sweden) at 0.60 % (vs 0.50 % prior)
  • Sweden, Private Sector Production, Change Y/Y for Dec 2021 (SCB, Sweden) at 7.70 % (vs 6.50 % prior)
  • United States, Trade Balance, Total, Goods and services for Dec 2021 (U.S. Census Bureau) at -80.70 Bln USD (vs -80.20 Bln USD prior), above consensus estimate of -83.00 Bln USD
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.1 bp at 178.6 bp (YTD change: +6.5 bp)
  • US-JAPAN: +2.5 bp at 178.8 bp (YTD change: +44.1 bp)
  • US-CHINA: +0.9 bp at -61.3 bp (YTD change: +67.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.4 bp at 103.7 bp (YTD change: +20.5bp)
  • US-JAPAN: +9.5 bp at -7.8 bp (YTD change: +63.0bp)
  • JAPAN-GERMANY: -9.9 bp at 111.5 bp (YTD change: -42.5bp)
US DE CN 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 6.96, up 0.01 (YTD: +0.85)
  • Euro 1-Month At-The-Money Implied Volatility currently at 6.06, down -0.3 (YTD: +1.1)
  • Japanese Yen 1M ATM IV unchanged at 5.71 (YTD: +1.5)
  • Offshore Yuan 1M ATM IV unchanged at 2.90 (YTD: -0.4)
EUR CNH JPY 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataPLN 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Argentina (rated CCC): down 38.1 basis points to 3,103 bp (1Y range: 1,227-3,883bp)
  • Russia (rated BBB): down 6.9 basis points to 190 bp (1Y range: 75-254bp)
  • South Africa (rated BB-): down 4.1 basis points to 212 bp (1Y range: 178-246bp)
  • Oman (rated BB-): down 3.5 basis points to 230 bp (1Y range: 223-313bp)
  • Vietnam (rated BB): down 1.3 basis points to 113 bp (1Y range: 89-114bp)
  • Panama (rated WD): down 1.2 basis points to 91 bp (1Y range: 55-103bp)
  • Qatar (rated AA-): down 1.1 basis points to 51 bp (1Y range: 37-52bp)
  • Malaysia (rated BBB+): down 0.8 basis points to 63 bp (1Y range: 36-65bp)
  • China (rated A+): down 0.7 basis points to 52 bp (1Y range: 28-58bp)
  • Saudi Arabia (rated A): down 0.6 basis points to 52 bp (1Y range: 43-71bp)

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

LARGEST FX MOVES TODAY

  • CFA Franc BEAC up 1.6% (YTD: +1.4%)
  • South Africa Rand up 1.0% (YTD: +4.2%)
  • Guinea Franc up 0.9% (YTD: +1.9%)
  • Norwegian Krone down 0.7% (YTD: -0.2%)
  • Israeli Shekel down 0.7% (YTD: -3.2%)
  • Congo Franc down 1.0% (YTD: -0.2%)
  • Ghanaian Cedi down 1.5% (YTD: -4.3%)

YTD BIGGEST WINNERS & LOSERS

  • Afghani up 11.0%
  • Georgian Lari up 6.7%
  • Angolan Kwanza up 6.5%
  • Brazilian Real up 5.9%
  • Hungarian Forint up 4.8%
  • Iceland Krona up 4.2%
  • Ghanaian Cedi down 4.3%
  • Liberian Dollar down 5.4%
  • Seychelles rupee down 9.3%
  • New Zambian kwacha down 9.7%