At Session Cheaps, AU-US 10Y Diff Almost Flat, Jun-31 Supply Tomorrow

ACGBs (YM -3.0 & XM -3.5) are cheaper and at Sydney session lows. With the domestic calendar light, the local market has taken its cue from cash US tsys, which are 2-3bps cheaper in today’s Asia-Pac session after yesterday’s holiday.

• That said, ACGB market weakness is also likely to reflect an ongoing adjustment by local participants to the RBA’s hawkish hold on Tuesday.
• Cash ACGBs are 3bps cheaper, with the AU-US 10-year yield differential at -4bps, its highest level since February.
• Swap rates are 2bps higher.
• The bills strip is slightly cheaper, with pricing flat to -2.
• RBA-dated OIS pricing is 7-12bps firmer for meetings beyond August versus pre-RBA levels. A cumulative 8bps of easing is priced by year-end from an expected terminal rate of 4.37%.
• Tomorrow, the local calendar will see Preliminary Judo bank PMIs alongside the AOFM’s planned sale of A$700mn of the 1.5% Jun-31 bond.
• Today, the US calendar will see Weekly Claims, House Starts and Building Permits. The Bank of England will also make their policy announcement, with an on-hold decision likely.