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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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AU/NZ cash 10-year yield differential has pushed 10bp higher this week to -88bp versus its multi-decade low of -100bp set in the wake of the worse-than-expected deterioration in NZ’s current account deficit (-8.9% of GDP).
- NZGB 10-year benchmark’s outperformance versus ACGB has been consistent with the relative price movement in AU and NZ STIR. NZ 1-year forward 1-month (1y1m) OIS has outperformed AU by 16bp over the past week as $-Bloc STIR has priced additional easing this year after a perceived dovish hike by the FOMC.
- A simple regression of the NZ/AU 10-year yield differential on the AU/NZ 1y1m OIS differential (over the current tightening cycle) however suggests the 10-year yield differential remains 15-20bp too negative, most likely reflecting the divergent current account situations in AU (record surpluses) and NZ (record deficits).
Figure 1: AU/NZ 10-Year Yield Differential (%) Vs. AU/NZ 1y1m OIS Differential (%)
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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