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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.
AUD
A$ correlations have shifted over the past week. As is usually the case in RBA decision week's, the short term correlations with yield spreads has bounced back, see the table below. Short end spreads are slightly higher for the week, albeit around a volatile trend. The 2yr spread currently sits roughly middle of the range for the past month at -40bps (-20bps to -60bps range).
- The 5yr and 10yr spreads are basically unchanged over the past week at +10bps and +42bps respectively.
- The other shift is lower correlations with respect to global commodity price and equity market moves. The dip in correlations with iron ore is also noticeable, nearly flat for the past week, and under 50% for the past month.
- The drop in correlations with global equities is more significant though, but remains elevated on a monthly horizon. The A$ has lagged better global equity sentiment this past week, see Fig 1 below.
Table 1: AUD/USD Correlations
| 1wk | 1mth | |
| 2yr yield differential | 0.61 | 0.62 |
| 5yr yield differential | 0.85 | 0.35 |
| 10yr yield differential | 0.88 | 0.06 |
| Global commodity prices | 0.62 | 0.82 |
| Iron ore | 0.07 | 0.49 |
| Global equities | 0.24 | 0.88 |
| US VIX index | -0.36 | -0.88 |
Source: MNI - Market News/Bloomberg
Fig 1: AUD/USD Lagging Global Equities This Past Week
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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