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AU-US 10-Year Yield Differential At The Bottom Of Range

AUSSIE BONDS
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Today, the AU-US 10-year cash yield differential has decreased by 6bps to -30bps.

  • At -30bps, the cash AU-US 10-year yield differential currently sits at the bottom of the range of +/-30bps which has been observed since November 2022.
  • A simple regression of the AU-US cash 10-year yield differential against the AU-US 1Y3M swap differential over the current tightening cycle indicates that the 10-year yield differential is currently 9bps too low versus its fair value (i.e., -30bps versus -21bps).
  • The 1y3m differential is a proxy for the expected relative policy path over the next 12 months.


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Today, the AU-US 10-year cash yield differential has decreased by 6bps to -30bps.

  • At -30bps, the cash AU-US 10-year yield differential currently sits at the bottom of the range of +/-30bps which has been observed since November 2022.
  • A simple regression of the AU-US cash 10-year yield differential against the AU-US 1Y3M swap differential over the current tightening cycle indicates that the 10-year yield differential is currently 9bps too low versus its fair value (i.e., -30bps versus -21bps).
  • The 1y3m differential is a proxy for the expected relative policy path over the next 12 months.


Keep reading...Show less