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CHINA: The correlation between Chinese interest rate swaps and local stocks
looks set to increase after a three-week period of divergence, which should see
rate expectations edge lower or stocks find some support.
- The 21-day rolling correlation between the CSI300 and the 2-year interest rate
swap is currently -0.55, even as the 12-month correlation remains elevated at
- A break above down trendline resistance on the CSI300 which comes in at 3300
would be a potential trigger for stocks to catch up with higher rates.
Conversely, a break below the 55-dma at 2.9046% in Chinese 2-year swaps could
trigger rates to 'catch down' to recent equity weakness.