John J Hardy at Saxo Bank:
''AUDUSD rally does not sit well with recent development in interest rate spreads. The recent RBA minutes discouraged the notion that the RBA is about to hike rates any time soon, while the US FOMC meeting, while dovish, only saw US rates at the front end of the curve move a few bps lower. Currently, even as AUDUSD is banging on resistance, the 2-year swap spread is near its lowest level since last September at around 226 basis points. The 1,000 day correlation of the spread with AUDUSD is 0.67 while it is a stunning -0.61 for the last 100 days. I doubt if the latter can be sustained for much longer.''
''AUDUSD rally does not sit well with recent development in interest rate spreads. The recent RBA minutes discouraged the notion that the RBA is about to hike rates any time soon, while the US FOMC meeting, while dovish, only saw US rates at the front end of the curve move a few bps lower. Currently, even as AUDUSD is banging on resistance, the 2-year swap spread is near its lowest level since last September at around 226 basis points. The 1,000 day correlation of the spread with AUDUSD is 0.67 while it is a stunning -0.61 for the last 100 days. I doubt if the latter can be sustained for much longer.''
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