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At Cheaps Ahead of US Non-Farm Payrolls

AUSSIE BONDS

ACGBs sit at session lows (YM -1.0 & XM -3.0) ahead of US non-farm payroll later today. The immediate market reaction to forecast changes contained in the RBA’s quarterly Statement on Monetary Policy appeared more like an unwind of pre-release strength. However, the post-statement cheapening gathered momentum in afternoon trade. Volumes were however relatively low ahead of US Non-Farm Payrolls, particularly with cash tsys closed until the London session. US tsy futures trading was muted in Asia-Pac.

  • Cash ACGBs are 1-3bp cheaper with the 3/10 curve 2bp steeper and the AU-US 10-year yield differential flat at -4bp.
  • 3s10s swaps curve twist steepened with rates 1bp lower to 3bp higher with 3-year EFP 2bp tighter.
  • Bills pricing is flat to +3.
  • RBA dated OIS pricing is flat to 3bp firmer after the statement but 1-3bp softer on the day.
  • The local calendar releases April NAB Confidence and March Building Approvals on Monday.
  • Until then, the local participants will be watching US tsys as they navigate April Non-Farm Payrolls.
  • The AOFM announced that it plans to sell A$150mn of the 0.75% 21 November 2027 Index Linked bond on Tuesday, May 9 and A$800mn of the 3.25% 21 April 2029 bond on Wednesday, 10 May.
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