**As seen in Macro Walk report 09/02/2022, subscribe at cablefxm.co.uk/reports
Euro, U.S. 5-year interest rate swap spreads narrowed to -1.20, up 320bps from where it was a month ago. Swaps have moved in favor of the euro, but spot FX has yet to reflect such thing as EUR/USD traded closer to 0.99
In the swiss franc, swaps favor the dollar and recent moves have been reflected in the cross, the short-term 5-year interest swap spread between Swiss and U.S. rates have an 80% correlation to FX spot. The same strong relationship is seen in cable, the 25-day correlation stands at 94%
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