ACGBs Hold At Post-BTFP Levels

ACGB remain firmer on the day (YM +14.6 & XM +8.6) but are well off their bests on the announcement of a new Fed Bank Term Funding Program (BTFP) in early Asia-Pac trade. Also in a joint statement, the Fed, US Treasury and FDIC stated that SVB depositors would be made whole. Equity futures spiked ~1.0% higher on the announcements from U.S. authorities.

• Cash ACGBs yields remain 9-14bp lower on the day but 15-17bp higher than session lows. The intraday push higher in yields was accompanied by a further steepening of the 3/10 curve that currently sits at +5bp on the day.
• AU/US 10-year yield differential widens 5bp to -23bp, after hitting a cycle low of -32bp last week.
• Swaps also reverse part of morning strength to be 7-10bp richer on the day with 3s10s EFP box 2bp flatter.
• A similar story for RBA date OIS with the market holding softer pricing (-7-13bp) for meetings beyond April, but well off the lowest levels for the session.
• With local headlines light, the market’s focus will remain on the SVB situation and the range of responses from U.S. authorities.