Notable Compression In the AU/U.S. 10-Year Yield Spread

Note that the AU/U.S. 10-Year yield spread sits ~30bp off the recent wides, operating just below the +60bp level, with the central bank repricing front and centre over the last few sessions. Note that the respective OIS markets have removed ~80bp of cumulative tightening re: the RBA covering the period through the Bank’s final ’22 meeting and a little over 40bp of cumulative Fed tightening covering the period through the Fed’s final ’22 meeting (per BBG WIRP), with general recessionary worries intensifying. This, coupled with the Fed having aggressive hikes already in the Bank, has likely resulted in the aggressive spread compression witnessed in recent days.