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Negative Bund/Dollar Correlation Strong As Ever (1/2)

CROSS ASSET

The rise in Bund futures today (front future +182 ticks, up 1.1%) alongside US dollar downside (dollar index down 0.9%) is in keeping with recent trends: indeed, the negative Bund / US Dollar correlation has been as strong in the past few months as it's ever been.

  • This chart shows the 60-day rolling correlation (based on % daily chg) going back to the mid 2000s - the current degree of negative correlation is as strong as it was in March 2020 (pandemic) and mid-2007 (early stages of Global Financial Crisis).

60 Day rolling correlation of % changes in RX1 1st Bund Future and BBG Dollar IndexSource: BBG, MNI

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