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AUSSIE BONDS: Sharply Cheaper & At Worst Levels As US Tsys Extend Sell-Off

AUSSIE BONDS
RegionGlobalBulletAPACFixed Income BulletsAustraliaMarkets

ACGBs (YM -11.0 & XM -14.5) are weaker and at session cheaps, as cash US tsys extend yesterday’s sharp back-up in yields. US yields had been 1-2bps lower early in the session. The local calendar was empty today and will be light again tomorrow. 

  • Cash ACGBs are 10-14bps cheaper with the AU-US 10-year yield differential at +21bps.
  • The cash 3/10 curve steepened by 4bps, reaching its highest level since early November 2023. The ACGB 3/10 cash curve has been closely aligned with recent upward pressure on the US 10-year tsy yield. This is reflected in the 30-day correlation between the two, which has returned to positive territory after two months in negative territory. Since mid-September, the US 10-year yield has risen by 55-60bps. Over the same period, the ACGB 3/10 cash curve has steepened by 15bps, now standing at 50bps.
  • Swap rates are 10-14bps higher, with the 3s10s curve steeper.
  • The bills strip has bear-steepened, with pricing -3 to -11.
  • RBA-dated OIS pricing is 4-11bps firmer for 2025 meetings, with late-2025 leading. A cumulative 3bps of easing is priced by year-end.
  • Tomorrow, the local calendar is empty apart from the AOFM’s planned sale of A$800mn of the 4.25% 21 December 2035 bond.  
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ACGBs (YM -11.0 & XM -14.5) are weaker and at session cheaps, as cash US tsys extend yesterday’s sharp back-up in yields. US yields had been 1-2bps lower early in the session. The local calendar was empty today and will be light again tomorrow. 

  • Cash ACGBs are 10-14bps cheaper with the AU-US 10-year yield differential at +21bps.
  • The cash 3/10 curve steepened by 4bps, reaching its highest level since early November 2023. The ACGB 3/10 cash curve has been closely aligned with recent upward pressure on the US 10-year tsy yield. This is reflected in the 30-day correlation between the two, which has returned to positive territory after two months in negative territory. Since mid-September, the US 10-year yield has risen by 55-60bps. Over the same period, the ACGB 3/10 cash curve has steepened by 15bps, now standing at 50bps.
  • Swap rates are 10-14bps higher, with the 3s10s curve steeper.
  • The bills strip has bear-steepened, with pricing -3 to -11.
  • RBA-dated OIS pricing is 4-11bps firmer for 2025 meetings, with late-2025 leading. A cumulative 3bps of easing is priced by year-end.
  • Tomorrow, the local calendar is empty apart from the AOFM’s planned sale of A$800mn of the 4.25% 21 December 2035 bond.