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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.
AUSSIE BONDS
The AU/US 10-year yield differential is 7bp narrower at -18bp as ACGBs outperform US Tsys after the US unemployment rate printed a lower-than-expected 3.5% (3.6% expected) ahead of the Easter break.
- AU/US 10-year yield differential is virtually unchanged from the level prevailing before the RBA shifted dovishly at the March meeting.
- Since then, the 10-year yield differential has traded as low as -32bp (cycle low) on the RBA March decision and as high as -6bp ahead of the Easter holiday as US Tsys reacted positively to misses on ISM Manufacturing and Services.
- The onset of global banking concerns in mid-March saw the 10-year yield differential move away from its cycle low as the AU/US short-end differential shifted dramatic higher. The AU/US 1y3m swap differential is currently -70bp, still around 75bp higher than pre-banking crisis levels.
- A simple regression of the AU/US cash 10-year yield differential versus the AU/US 1Y3M swap differential over the current tightening cycle suggests that the 10-year yield differential is currently around 14bp too negative (i.e. -18bp Vs. fair value at -4bp).
Figure 1: AU/US Cash 10-Year Yield Differential (%) Vs. AU/US 1Y3M Swap 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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