FX rates have seen a bid to the USD since mid-June and seen riskier currencies detach from the Bloomberg financial conditions index
Back in June, the 20-day rolling correlation in EUR/JPY cross to the U.S. FCI was 71%, USD/CHF -69% and GBP/USD 49%
The FCI dipped below 1.0 back in July and had a minor setback in August, meaning tighter financial conditions in the U.S. measured by Bloomberg. Since August, conditions continue to ease
High beta FX, AUD and NZD 20-day rolling correlation to U.S. FCI stands at 51% and 69%, respectively. EUR/JPY and USD/CAD correl. at 66% and 45%, respectively. Risk-on G10FX seen benefiting from easier conditions
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