Cheaper As US Tsys Sell-Off Following US CPI Data

In roll-impacted dealings, ACGBs (YM -5.4 & XM -5.8) are cheaper after US tsys yields finished 5-6bps higher following modestly higher than expected US CPI data for February. More supply, with poor reception to the US 10-year reopening, and risk-on sentiment also weighed on US tsys.

• CPI m/m (0.4% vs. 0.4% est), y/y (3.2% vs. 3.1% est); CPI Ex Food and Energy m/m (0.4% vs. 0.3% est) y/y (3.8% vs. 3.7% est). Meanwhile, Real Avg Hourly Earning y/y (1.1% vs. prior 1.3% (rev)).
• The probability of a May rate cut by the FOMC, which had already fallen below 20%, edged towards 15%.
• On the other hand, Wall Street shrugged off the data, with the S&P 500 rising ~1% to a record closing high.
• Cash ACGBs are 5-6bps cheaper, with the AU-US 10-year yield differential unchanged at -15bps.
• Swap rates are 5-6bps higher.
• The bills strip has bear-steepened, with pricing -1 to -5.
• RBA-dated OIS pricing is flat to 4bps firmer across meetings, with later-24 leading. A cumulative 45bps of easing is priced by year-end.
• Today, the local calendar sees the release of the CBA Household Spending data, which represents the final data update before the forthcoming RBA Policy Decision scheduled for next Tuesday.