What is correlating in FX? - Nomura

Analysts at Nomura offered the list of top 10 positive correlations that are now dominated by the relationship between JPY (crossed with EUR or USD) and various interest rate measures, including nominal swap rate differentials (2y, 5y, 10y) and the German and US 10y sovereign yield, respectively. 

Key Quotes:

"A new entrant into the list includes the relationship between NOKSEK and the respective 2y nominal swap rate differential, which has strengthened markedly since the beginning of March. We expect the Riksbank to normalise policy before Norges Bank, and we think this could continue to weigh on NOKSEK in the coming quarters.

"While the top 10 negative correlations show a degree of easing in correlations in the last two weeks, the list is now fully dominated by commodity prices (specifically the relationship between precious metals with JPY and NOK crossed with USD, and the relationship between oil prices with NOK, crossed with EUR or USD)."

 "A notable two-week positive change in correlations includes the sudden strengthening in the relationship between NOKSEK and changes in crude oil prices. In addition, the 2s10s spread of the of the EUR swap curve has begun correlating more strongly positive with various EUR crosses (particularly crossed with AUD, NOK and NZD)."