US market wrap: dollar and yields supported on Fischer - Westpac

Analysts at Westpac offered a market re-cap for the Friday close in the US session.

Key Quotes:

"Global market sentiment: US interest rates and the US dollar are higher following Fed comments from the Jackson Hole symposium, although it was Vice-Chair Fischer rather than Chair Yellen who moved markets most. 

Interest rates: US 10yr treasury yields initially fell a few bps in response to Yellen’s speech (perhaps disappointed at the data-dependency condition attached to her assertion “the case for an increase … has strengthened”) but were boosted by Fischer’s comments an hour and a half later (he said Yellen’s message was consistent with a rate hike in September). The 10yr rose overall from 1.56% to 1.63% (a two-month high), while the 2yr rose from 0.78% to 0.85% (a three-month high). Market pricing of the Fed funds rate jumped, implying around a 40% chance of a rate hike in September, an 85% chance by December, and 100% by March 2017.

Currencies:  The US dollar index rose by around 0.8% in response to the Fed comments. EUR fell from 1.1285 to 1.1181 via 1.1327. USD/JPY jumped from 100.50 to 101.94 via 100.07, the yen the worst performer on the day. AUD traded as high as 0.7692 just after the Yellen speech but fell to 0.7552 (a one-month low) after Fischer. NZD similarly rose to 0.7380 (a 15-month high) before falling to 0.7223. AUD/NZD rose from 1.0420 to 1.0468."