Awaiting U.S. CPI

Aussie bond futures have opened the session marginally flatter, in sympathy with Monday moves on the U.S. 2/10 curve with YM flat and XM +1.0. Cash bond yields are little changed at the short-end and 1-2bp lower for the 10-year and longer zone.

• The AU/U.S. 10-year cash bond yield differential is wider by around 1-2bp from yesterday’s close at around 5bp but still below yesterday’s intraday high of 10bp.
• AU swaps have opened unchanged across the curve implying a small push wider in the 10-year swap spread.
• Bills strip is basically flat for the day.
• RBA-dated OIS continues to attach a 92% chance of a 25bp hike from the RBA at the March meeting. Terminal rate expectations are 1bp higher at 4.15% for Sep/Oct-23 but remains below yesterday’s intraday high of 4.22%.
• Today’s economic calendar sees the release of Westpac’s consumer sentiment measure as well as the NAB business survey, but the market’s focus is likely to remain firmly fixed on U.S. CPI data, slated for NY hours.