Currency Indexes (CI)
{ATTACHMENT}North America: USD, CAD
After reporting losses for two weeks in a row, the US Dollar's index spent another period in the negative area. The measure fell below the baseline as the market's risk appetite improved on Monday, and managed to break back above the zero level only on Friday, gaining fuel from the deteriorating positions of its risky peers. Thus the USD Index posted a modest weekly gain of 0.07%, making little impact on its long-term readings.
The Canadian Dollar's index, in turn, went from crossing the +0.50% line on Wednesday to falling below -0.50% on Friday as it was largely governed by the reports on the US-Canada NAFTA talks. The measure ended up below the baseline for the second consecutive week. On the long-term basis, the CAD Index posted its first negative 4W change after eight periods of positive results.
Most of the CAD Index's principal moves during the period were fuelled by the NAFTA headlines. On Monday, the measure added 0.12 pp and jumped over the baseline after it was reported that an agreement was reached on some key bilateral differences between the US and Mexico, and that Canada was expected to rejoin the NAFTA talks on Tuesday. President Trump set a deadline for reaching a deal by the end of the week, and the CAD Index continued to climb up until Wednesday afternoon. On Thursday, the measure lost 0.31 pp and neared the baseline as it was hit by disappointing GDP growth, and deepened its losses as the chances of the swift closure of the NAFTA deal evaporated on Friday.
{ATTACHMENT}Europe: EUR, GBP, CHF
The Euro's and the Swiss Franc's indexes lost the synchronicity they showed in the previous period, with the former remaining mostly flat, while the latter continued to grow. Thus the EUR Index posted a marginal weekly loss of 0.03%, and the CHF Index reported a strong 1.82% gain. With that the Franc's measure long-term change also recorded a jump, with its YTD growth beating the US Dollar's reading and taking the second-best position less than 1.00 pp below the Yen's result.
The Pound's index also remained flat for most of the week, but experienced a major surge on Wednesday, which allowed it to post its largest weekly gain since mid-March. The move was facilitated by the market's reaction to the EU Chief Brexit negotiator Barnier's comment on the EU being "prepared to offer a partnership with Britain such as has never been with any other third country". The GBP Index added 0.67 pp in 10 minutes and climbed from the baseline to the +1.00% line in two hours.
Asia-Pacific: JPY, AUD, NZD
The Antipodeans dominated the negative area in the second half of the period, ultimately posting the week's greatest losses. The AUD Index reported its greatest weekly decline in the year so far, pushing its YTD change close to the -6.00% mark. The NZD Index posted a less dramatic loss, but it still put the measure's YTD reading below its previous low of -4.41%.
Meanwhile, the Yen's gauge started the week by deepening the previous period decline, but turned to recovery with the mood change on Thursday. As a result, the JPY Index finished the period 0.31% above the baseline. Notably, the measure still dropped its 26W change into the negative area for the first time since early February.
The AUD Index was edging down since the week's open, but it suffered its principal fall on Wednesday, when it was reported that Westpac Bank, Australia's second-largest lender, raised its variable mortgage rate. The news cast a shadow on a rate hike expectations in short-to-medium term, and the Australian Dollar's measure lost 0.29 pp in an hour, falling to the -0.70% line. The index went into a downslide from there.
The NZD Index, in turn, held near the baseline until early Thursday. There, as the data showed a slump in the Business Confidence, the measure suffered the week's greatest 10-minute fall of 0.38 pp and lost a total of 0.62 pp in 40 minutes, falling to the -0.80% line. For the rest of the period, the index was zigzagging down to the -1.00% line.
Volatility
{ATTACHMENT}The market's turbulence still remained largely subdued, though the observed median volatility readings edged closer to the normal historical level of 0.030%. The largest medians of 0.030-0.031% were reported by the Australian Dollar and the Yen, while the European currencies still posted subdued values.
{ATTACHMENT}North America: USD, CAD
{ATTACHMENT}Friday proved to be the most turbulent day for the Canadian Dollar. As rapidly deteriorating situation with the US-Canada talks send the CAD Index to zigzag in the negative area, the currency's volatility measure held above the market average for a major part on the North American trading. As Toronto Star reported that President Trump expected the deal with Canada to be made on the US terms, the CAD Index lost 0.15 pp in one 10-minute candle, and the Canadian's volatility jumped to 0.063%. Later in the day, as Canada's trade negotiator Freeland's announced that no deal was made, the CAD Index suffered another fall, with the zigzagging bringing the currency's volatility to its week's maximum of 0.071%.
Meanwhile, the CAD Index's Monday jump pushed the Loonie's volatility to 0.063%, while the worse-than-expected GDP data fuelled a peak of 0.069%.
All four peaks saw above-average reactions from GBP/CAD and CAD/JPY.
Europe: EUR, GBP, CHF
{ATTACHMENT}Unsurprisingly, the Pound's major volatility peaks were fuelled by the Brexit headlines. Wednesday's news pushed the currency's turbulence measure to the week's absolute high of 0.162%, with above-average values reported by GBP/JPY, GBP/USD, and GBP/CAD.
Thursday, on the other hand, saw some of the market's optimism curbed by Barnier noting that a no-deal Brexit was still possible. The GBP Index lost 0.18 pp, and the Pound's volatility rose to 0.053%. Again, sharpest reaction came from GBP/JPY, GBP/USD, and GBP/CAD.
Asia-Pacific: JPY, AUD, NZD
{ATTACHMENT}The NZ Dollar's tumble on Thursday formed the week's second-highest volatility peak, with the currency's composite turbulence measure jumping to 0.093%, and the greatest reactions coming from EUR/NZD, NZD/CAD, and GBP/NZD.
Meanwhile, the AUD Index's drops caused numerous, but relatively minor volatility peaks. The largest of them was observed on Thursday, when it was reported that President Trump planned to impose new tariffs on Chinese imports as soon as the public-comment period ended on September 5. The news affected both the Australian Dollar and the Yen, with their currency indexes losing and gaining 0.16 pp, respectively. The Aussie's volatility jumped to 0.047%, while the Yen's reached 0.051%, with AUD/JPY reporting the value of 0.077%.
Currency Pair Correlations
{ATTACHMENT}Most of the correlations selected for the period were Pound-related. Thus, further strengthening was observed in GBP/JPY bonds with EUR/USD and GBP/USD. Similarly, correlations between EUR/USD and GBP/USD retained the elevated levels shown by their monthly distribution.
The pattern was also extended into the correlations between GBP/CHF and GBP/USD, whose median value rose compared to both the monthly and the half-yearly levels.
Strengthening compared to the half-yearly distribution was also observed in GBP/USD and EUR/USD correlations with AUD/USD.
Meanwhile, the GBP/JPY and USD/JPY relationship lost some of its usual strength, and the correlations between GBP/USD and NZD/USD edged down from abnormally high monthly readings.