A Touch Firmer As EFPs Narrow

Aussie bond futures have continued to squeeze higher in early Sydney trade, with EFPs once again narrowing after the recent surge wider, pointing to receiver side flows in swaps supporting the move.

• YM is +6.0, while XM is +3.0, with the major cash ACGBs seeing 3-6bp of richening as the curve bull steepens.
• Bills sit 1-10bp richer through the reds, with the backend of the whites and front end of the reds leading the bid.
• RBA dated OIS has come in a touch more, pointing to a terminal cash rate of just over 4.05%. Note that the RBA SoMP was conditioned on “expectations derived from surveys of professional economists and financial market pricing, with an assumed cash rate that peaks at around 3.5% in mid-2023 before easing back to around 3.0% by the end of 2024.” Note that OIS came in pre-SoMP as EFPs narrowed.
• There hasn’t been much reaction in the space to the latest round of economic projections provided in the RBA’s SoMP (with the major releases already flagged in Bank’s post-meeting statement earlier in the week, as is the norm), with the formal forecast available in the previous bullet.
• Elsewhere, slightly softer than expected Q3 real retail sales data was accompanied by negative revisions to the Q2 print, with the release crossing at the same time as the SoMP.