CNH: CNY Fixing Strongest On Record Relative To Estimates, But Little CNH Follow Through
The USD/CNY fixing came in at 6.9160, versus a Bloomberg consensus of 6.9614.
- Today's fix is a -454 pip surprise in USD/CNY terms. This is the largest downside surprise since Bloomberg started compiling consensus estimates (back to 2018).
- The rolling 5-day sum of the error term is now at -1083pips, compared with -806pips yesterday. This is also fresh wides for this metric, see the chart below. This is a clear step up from a fixing bias standpoint relative to the past 2 session.
- The authorities may view a breach of 7.00 as inevitable though. The onshore Securities Times stated in a front-page article today that the PBoC is more concerned about the pace of depreciation rather than specific levels. It also warned on betting against one-way moves in the currency.
- USD/CNH has moved lower post the fixing, but remains above 6.9700 for now (last at 6.9750). Earlier highs were just above 6.9830. Overall, not a great deal of follow through to the downside in the pair.
- Coming up later today is August trade figures and FX reserves.
Fig 1: USD/CNY Fixing Error Term to Fresh Wides
Source: MNI - Market News/Bloomberg
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CNH: CNY Fixing In Line With Expectations
The USD/CNY fix printed at 6.7695, versus a market estimate of 6.7693.
- Today's fix is very close to market expectations. The 5-day rolling sum of the error term has moved back down to +9pips today from +18pips on Friday.
- On Tuesday of last week this metric was +54pips, so we have seen some step back over recent sessions.
- USD/CNH has edged higher in the first bit of trading this week, but we remain sub 6.7700 for now (last at 6.7675). The tone for the USD has been firmer against the G10 majors, although we are away from best levels for the dollar.
BOJ: Fixed Rate Operation Offer
The BoJ offers to buy an unlimited amount of 10-Year JGBs at a fixed rate of 0.25%.
AUSSIE BONDS: ACGB Apr-37 Supply Probably A Little Softer Than Expected
The latest round of ACGB Apr-37 supply sees the weighted average yield print 0.51bp through prevailing mids (per Yieldbroker), while the cover ratio comes in comfortably below the 2.50x benchmark. The auction was probably a bit softer than we expected on the whole, with the previously outlined lack of clear micro relative value, flatness of the 5-/15- & 10-/15-Year yield curves and Monday timing of supply (the most illiquid time of the global trading week) the major negatives that we would point to. No immediate reaction in cash trade in the wake of the auction.
