Curve Bear-Steepens After US Curve Twist-Steepens

ACGBs (YM +1.0 & XM -3.5) are cheaper with a steeper curve after Wall Street plunged and US tsys twist- steepened overnight. Tech led the slump with the NASDAQ dropping ~3.5%, the biggest 1-day selloff since March 2020. The S&P 500 fell around 2%, with disappointing Alphabet and Tesla earnings after the bell on Tuesday getting the sell-off started.

• Higher longer-term US tsy yields added to the downside momentum in stocks. News that ex-Fed president Dudley was now calling for the FOMC to cut rates next week amid recession fears added to investor angst.
• Projected rate cut pricing into year-end strengthened from yesterday's levels: Sep'24 cumulative -27bps (-25bps), Nov'24 cumulative -43bps (-40bps) and Dec'24 -65bps (-63bps).
• As widely expected, the BoC cut its policy rate by 25bps for a consecutive meeting, taking it down to 4.5%.
• Cash ACGBs are 1bp lower to 3bps higher, the AU-US 10-year yield differential at +7bps.
• The swap curve has twist-steepened, with rates 1bp lower to 2bps higher.
• The bills strip has twist-flattened, with pricing -1 to +2.
• RBA-dated OIS pricing is flat to 2bps softer across meetings. Terminal rate expectations sit at 4.43%.
• Today, the local calendar is empty.