Cheaper, Post-Jobs Data Reversal Continues

ACGBs sit near session lows (YM -10.0 & XM -10.0) as the post-employment data sell-off continues unabated. At the time of writing, futures are around 18bp lower than the post-data high, sitting at their lowest levels since March 13. Without economic data today, local participants have likely been on US tsy watch. US tsys have seen higher yield for five consecutive days.

• Cash ACGBs are 10bp higher with the 10-year yield differential +4bp at -5bp.
• Swap rates are 9-10bp higher with the 3s10s curve flatter.
• The bills strip is steeper with pricing -4 to -13.
• RBA dated OIS is 3-10bp firmer for meetings beyond June with early '24 leading. There is an 20% chance of a 25bp hike at the June meeting priced. The expected terminal rate is at 4.01%, the highest level since March 9.
• The AOFM plans to sell A$150mn of the 1.25% 21 August 2040 Indexed bond on Tuesday May 23 and A$800mn of the 3.50% 21 December 2034 bond on Wednesday May 24.