August 29, 2024 03:30 GMT
AU-US 10-Year Yield Differential At Fair Value
AUSSIE BONDS
Today, the AU-US 10-year cash yield differential is at +12bps.
- At +12bps, the differential sits in the upper half of the +/-30bps range observed since November 2022.
- Moreover, a simple regression of the AU-US cash 10-year yield differential against the AU-US 1Y3M swap differential over the past 12 months indicates that the 10-year yield differential is near fair value.
- The 1y3m differential is a proxy for the expected relative policy path over the next 12 months.
Figure 1: AU-US Cash 10-Year Yield Differential (%)
Source: MNI – Market News / Bloomberg
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