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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
AUSSIE BONDS
The RBA’s official rate is currently 40bps below that of the BoC, but this differential appears set to narrow to +15 bps later today if market pricing proves accurate.
- More interestingly, looking 12 months ahead using 3-month swap rates 1-year forward (1Y3M), the market now expects the RBA’s official rate to be 76bps higher than the BoC’s. (See link)
- A simple regression of the AU-CA cash 10-year yield differential, which is currently around its highest level since last December, against the AU-CA 1Y3M spread over the past 12 months suggests that the 10-year yield differential at its fair value of +94bps.
Figure 1: AU-CA Cash 10-Year Yield Diff. (%) vs. AU-CA 1Y3M Swap Diff. (%)
Source: MNI – Market News / Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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