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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 SWAPS
In mid-April, the AU-US 3-month swap rate 1-year forward (1y3m) moved into positive territory for the first time this year on expectations that the RBA would play catch-up to rate hikes already delivered by the US Fed.
- Year-ahead expectations for the AU-US 3m swap differential reached their highest point at +40 basis points in mid-June. This occurred following a policy pause by the RBA. This peak was revisited in mid-July after the RBA, for the second consecutive meeting, opted to maintain the cash rate at 4.10%.
- Since then, the 1y3m swap rate in Australia has collapsed some 70bp. With the US 1y3m rate little changed over the same period, the AU-US 1y3m swap differential has pushed well truly back into negative territory.
- Nonetheless, the AU-US 3M swap differential is expected to narrow by around 120bp over the next year as the US Fed cuts rates.
Figure 1: AU & US 1y3m Rates (%)
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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