Free Trial
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
Towards the end of March, there was a noticeable reduction in the cross-market curve correlation between AU and US, which was attributed to a lessening of global banking concerns.
- The cash AU 3/10 and the US Tsy 2/10 curve correlation is now at pre-banking crisis levels. This suggests that the markets have shifted their attention towards domestic drivers instead of banking sector stress.
- Over time, the cash yield differential between the AU 3-year and the US 2-year is expected to become the primary driver of relative curve movements. This aligns with historical trends where global curve correlations weaken as the tightening cycle matures, and policy rates follow their independent paths.
- A simple regression of the AU 3/10 - US 2/10 curve box against the short-end yield differential over the current tightening cycle lends support to this notion. Presently, the AU curve is 11bp too flat relative to the US curve. At the peak of banking concerns, the regression error was -22bp.
Figure 1: Rolling 10-day Correlation – ACGB 3/10 Curve Vs. US Tsy 2/10 Curve
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.
We are facing technical issues, please contact our team.
ok
Your request was sent sucessfully! Our team will contact you soon.
ok