Analysts at the Australian and New Zealand Banking Group (ANZ), in their latest note, express their view on the impact of USD repo moves on AUD rates markets.
Key Quotes:
“Last week’s USD repo market gyrations had flow-on effects to AUD markets. The most pronounced was on Friday via FX forwards and cross-currency basis.
The demand for USD pushed AUD forward implied yields lower and, briefly, 3m cross-currency basis to its lowest level in more than a year.
AUD repo rates have ticked higher in recent days. This is largely due to seasonal factors (quarter-end). The volatility in USD repo markets is also probably making some market participants a bit more nervous.”
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