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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.
BONDS
In early April, global banking concerns lessened, leading to a return to pre-crisis levels ofcross-market curve correlation between AU and the US. This suggested that the market's attention had shifted back towards domestic drivers instead of banking sector stress. It also brought relative curve movements in line with historical trends, where global curve correlations weaken as the tightening cycle matures, and policy rates follow their independent paths.
- There has been an even more significant shift in the cross-market correlation between NZ and the US. As banking sector concerns rose, the NZ cash 2/10 curve steepened in sync with the US curve, reaching a peak correlation of around 0.90 in late March.
- Similar to AU, the NZ/US cross-market curve correlation decreased significantly in early April. However, unlike AU, the NZ curve correlation with the US turned negative after the RBNZ unexpectedly hiked the cash rate by 50 bp, causing the NZ 2/10 cash curve to flatten by 18bp.
Figure 1: Rolling 10-day Correlation – NZGB 2/10 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.
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