USD repo moves: Impact on AUD – ANZ

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.”