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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
Cash Tsys have opened cheaper in Asia-Pac trade with the 10-year yield 7bp higher, leaving the AU/US 10-year yield differential +1bp at -15bp.
- While there can be many variables at play in a cross-market differential, a simple regression of the AU/US 10-year yield differential versus the AU-US 12-month forward OIS differential over the current tightening cycle suggests that the 10-year differential is currently around 25bp too negative (i.e. -15bp Vs. fair value +10bp).
- As highlighted in Figure 1, this richness in the 10-year yield differential is driven by the dramatic realignment in 12-month forward OIS in the U.S. versus Australia on the back of recent global banking concerns.
Figure 1: AU/US 10-Year Yield Differential (%) Vs. AU/US 12M Fwd. OIS
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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