Cheaper, 3-Year Futures Bounce Off Jun-22 Low

ACGBs sit weaker (YM -6.0 & XM -1.0) but off session cheaps. 3yr futures traded as low as 95.960, the Jun-22 low on the continuation contract. According to MNI’s technicals team, clearance of this level would confirm a critical bearish medium-term development and signal scope for an extension towards 95.451, a Fibonacci projection.

• Cash ACGBs are 1-6bp cheaper with the 3/10 curve flatter and the AU-US 10-year yield differential -3bp at +22bp.
• Swap rates are 2-7bp higher with the 3s10s curve flatter.
• The bills strip bear steepens with pricing -4 to -9.
• RBA dated OIS are 4-10bp firmer for meetings beyond October with early’24 leading.
• ACGBs sit above NZGBs but below JGBs. That’s the finding of a Bloomberg analysis of 24 government bond markets globally based on 10-year yields, currency-hedge costs and volatility. (See link)
• The highlight of next week’s local calendar is the release of the CPI Monthly (May) on Wednesday. The calendar also sees May readings for Job Vacancies (Thu), Retail Sales (Thu) and Private Sector Credit (Fri).
• The AOFM plans to sell A$300mn of the 1.75% 21 June 2051 bond on Wednesday. It also plans to sell index-linked bonds: A$100mn of Nov-27 and A$50mn of Aug-40.