Cheaper Ahead Of CPI Data

ACGBs (YM -2.0 & XM -3.0) are weaker ahead of the release of Q2 CPI data. US tsys were relatively subdued ahead of an all-but-done 25bp hike from the FOMC later today. The risk that the Fed's stance is more hawkish than feared has pressured US tsys over recent days.

• US tsys finished 1-2bp cheaper after paring early losses after news that the Banc of California is in advanced talks to buy PacWest. The news drove the KBW banking index lower. Early weakness in US tsys had been driven by upward revisions to the IMF’s global growth and core CPI forecasts, alongside strong US house prices and robust Conference Board consumer sentiment.
• Cash ACGBs opened 2-3bp cheaper with the AU-US 10-year yield differential +2bp at +18bp.
• Swap rates are 2-3bp higher.
• The bills strip bear steepens with pricing flat to -4.
• RBA dated OIS pricing is flat to 3bp firmer across meetings.
• The local market’s focus will be firmly on today’s Q2 CPI data. Bloomberg consensus expects headline CPI to print +1.0% q/q (6.2% y/y) versus +1.4% q/q (7.0% y/y) in Q1. Trimmed Mean CPI is forecast to print +1.1% q/q (6.0% y/y) from +1.2% (6.6% y/y) in Q1.
• The RBA announced yesterday the 8 (instead of 11) policy meeting dates for 2024. (See link, ICYMI)