AUSSIE BONDS: AU-US 10Y Diff Sits In Bottom Half Of Range
May-23 01:30
The AU-US 10-year cash yield differential currently stands at -10bps, positioned in the bottom half of the +/- 30bps range that has largely held since November 2022.
- A simple regression of the 10-year yield differential against the AU-US 1-year forward 3-month swap rate (1Y3M) differential over the past year suggests the current spread is close to fair value, estimated at -14bps.
- The 1Y3M differential, a key gauge of expected relative policy trajectories over the next 12 months, has traded within a 40bp range this year and is currently near the bottom of the range at ~-25bps.
- In early February, the 1Y3M differential had declined approximately 95bps since mid-September 2024, falling from +60bps to -35bps.
Figure 1: AU-US Cash 10-Year Yield Differential Vs 1Y3M (%)
Source: MNI – Market News / Bloomberg
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
CNH: USD/CNY Fixing Higher, But Error Term Rewidens On USD Bounce
Apr-23 01:25
The USD/CNY fix printed at 7.2116, versus a BBG market consensus of 7.3417.
- Today's fix saw a re-widening of the error term to -1301pips from -818pips yesterday. This fits with higher USD index levels over the past 24 hours.
- The actual fix was still below recent highs, which rest at 7.2133.
- USD/CNH dipped to lows of 7.2922 earlier, but sits back around 7.3050 in latest dealings. We saw earlier support for CNH following comments from US President Trump that the final tariff rate on China would be lower than the 145% that currently prevails.
MNI: CHINA PBOC CONDUCTS CNY108 BLN VIA 7-DAY REVERSE REPO WEDS
Apr-23 01:22
- CHINA PBOC CONDUCTS CNY108 BLN VIA 7-DAY REVERSE REPO WEDS
US TSY FLOWS: Block BUY: USM5
Apr-23 01:20
2800 of USM5 traded at 114-22, post-time 01:25:20 BST (DV01 $353,492). The contract is currently dealing at 114-12, +0-25 from closing levels.
Trending Top
Aug-29 07:49
