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1y Vs. 1y1y Flattens With Terminal Rate Decline

AUSSIE SWAPS

Terminal rate expectations across markets, including AU, have declined dramatically over March in line with banking crisis concerns.

  • Notwithstanding recent volatility, the decline in the expected terminal rate has been accompanied by a flattening of the 1-year swap Vs. 1-year swap rate 1 year forward (1y1y).
  • As highlighted previously, the 1y Vs. 1y1y typically flatten into the last rate hike of the cycle, particularly when supported by softer data.

Figure 1: Terminal Rate Expectations (%) Vs. 1y Vs. 1y1y


Source: Bloomberg / MNI - Market News

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