Chart of the Day: US 5-year swap rate tests but fails to close above 200-day MA

On 15 March 2012 the growth oriented currencies rallied against the US dollar.

RBS reported, “The growth oriented currencies rallied against the USD as the S&P 500 rallied steadily throughout the day and closed above 1400 while US rates, which had been rising sharply and benefitting the USD over the past few days, held nearly unchanged on the day.”

The 5-year swap rate, according to RBS, tested but failed to close above its 200-day MA (1.3511%). “We saw the response we were looking for yesterday (14 March 2012) from Norges Bank following the recent rapid appreciation in the exchange rate, and took profit on our short NOK/JPY position, realizing a small profit of 0.5% on this trade,” said RBS.

Longer-term RBS remains positive on the NOK with Norges Bank likely to have to accept a gradual appreciation in the exchange rate given strong relative fundamentals. RBS noted, “This trade was based on a tactical view that NOK gains had come too far, too fast and that Norges Bank were unlikely to have changed their policy on the exchange rate.”