At Sydney Session Bests, Tracking US Tsys Ahead Of RBA Gov Speech & CPI Tomorrow

ACGBs (YM +6.0 & XM +9.0) are richer and at Sydney session highs after US tsys pare early Asia-Pac weakness. With the data docket light today, Judo Bank PMIs the only release, the direction of the local market today appears destined to be determined abroad ahead of RBA Governor Bullock’s speech tonight at CBA’s annual conference and Q3 CPI tomorrow.

• US tsys have twist-flattened in today’s Asia-Pac session, with yields 2bps higher to 1bp lower, pivoting at the 10s.
• Bloomberg reports that Treasuries came roaring back in Monday’s US trading session in what looks like an epic episode of short covering. Futures traders had been massively overbalanced toward bets on further declines in US government securities, based on the latest CFTC data. (See link)
• Cash ACGBs are 6-9bps richer, with the AU-US 10-year yield differential 3bps higher at -16bps.
• Swap rates are 6-8bps higher, with the 3s10s curve steeper.
• The bills strip has bull-flattened, with pricing +1 to +6.
• RBA-dated OIS pricing is 2-6bps softer across ’24 meetings, with terminal rate expectations at 4.32% versus 4.36% yesterday. The market has attached a 39% chance of 25bp hike at the RBA’s November meeting.