[LehmanBr]

Equity/FX correlations are relatively stable, but we do note that USDCAD, moving 15 corr points in the last week, has edged its way onto the top 10 chart. There has been a wave of CAD appreciation over the past week that has correlated extremely well to the rise in the S&P.

The S&P’s rally over the past week on the back of a general wave of positive earnings has been supportive of risk currencies. Against the USD, we see the AUD and NZD both gaining ground in terms of correlation to the S&P.

○ In EM/S&P correlations, we note a large movement in USDMXN correlation, moving 25 corr points, which has boosted it to second place behind USDBRL.

○ In the USD-pair correlations to oil, we note an unusual movement in the USDJPY correlation, moving from 19% last week, to 53% this week. The recent down leg in crude correlated extremely well with the drop in USDJPY. Over the past four years this corr has had a range of - 70%/+70% however it has remained positive since the Lehman collapse. We also see JPY crosses occupying the top five corrs with NOKJPY remaining the highest at 77%.