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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
AUD
AUD/USD correlations remain quite firm with yield differentials, particularly over shorter tenors. The picture is more mixed for other asset classes.
- The table below presents the levels correlations for AUD/USD and various cross asset drivers for the past week and month.
- As was the case with our last update, correlations with yield differentials remains quite firm, over 80% for the past week. It is a more mixed picture for the past month, but the trend is generally higher from a correlation standpoint.
- AU-US yield spreads have moved higher over the past week, albeit with a very volatile trend. The 2yr spread is back to +10bps from -50bps or so at the start of the week. The 10yr spread is up to +85bps, highs back to early 2016.
- For commodities, correlations are weaker, particularly for iron ore. The metal has fallen sharply this week, to be back at $125, a 13.6% dip from recent highs.
- Correlations with global equities are higher, but still below the equivalent correlations with yield spreads for the past week.
- The divergence between AUD/USD and global equities is noticeable over recent sessions.
- The A$ is comfortably off highs against safe haven currencies though, so the weaker equity story is likely to be more influential on these cross rates.
Table 1: AUD/USD Correlations
Source: MNI - Market News/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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