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Cheaper, Narrow Ranges, Nov-33 Supply Sees Less Demand

AUSSIE BONDS

ACGBs (YM -5.0 & XM -4.0) are holding cheaper after dealing in relatively narrow ranges so far in the Sydney session.

  • YMM4 at 96.09 has pushed through the bottom of the 96.11 to 96.54 range observed for the continuous contract this year. According to MNI’s technical team, the move is considered corrective above 95.750, the Nov 27 low.
  • The Westpac leading index fell 0.05% m/m in March with the 6-month annualised rate at -0.2% after being flat the previous month. This rate leads detrended growth by 3 to 9 months and so is signalling subdued but positive growth continuing into H2 2024, which the RBA has in its latest forecasts.
  • The latest round of ACGB Nov-33 supply was absorbed but the cover ratio of 2.6562x fell short of the previous auction's 2.9688x, continuing a trend observed in recent auctions. Cover ratios have declined from comfortably high levels of around 4.0x to less comfortable levels of around 3.0x.
  • Cash ACGBs are 4bps cheaper, with the AU-US 10-year yield differential at -29bps.
  • Swap rates are 4-5bps higher.
  • The bills strip has bear-steepened, with pricing -1 to -6.
  • RBA-dated OIS pricing is 3-5bps firmer for 2025 meetings. A cumulative 14bps of easing is priced by year-end.
  • Today, the local calendar sees the Employment Report for March.
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