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💱⚖️ FX Sensibility to Rates Higher Since June: Cable FX Macro

  • Sensibility to rates measured as BBDXY weighted spreads vs dollar index historical prices saw an increase since mid-June

  • So far this year, 2-yr spreads have not favoured the G10 as the kiwi is the only currency to hold an advantage to the dollar short-term yields, CAD down 7bps

  • Most differentials read below the 100bps mark, favouring the dollar. The JGB-Treasury spread is practically at 400bps, the widest since 2007

  • We have seen these negative spreads reflected in underperformance vs the dollar, while relative strength is noted tighter spreads

  • In an G10FX + MXN, BRL, and CNY ranking, we see the real leading the group in YTD % spot performance while the yen bottoms the chart



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