Curve Steepens, YM Unwinds Some Of Early Squeeze Higher

YMM2 has erased some of the early squeeze higher, but hasn’t gotten anywhere near neutral levels, last +4.5, while XM has generally marched to the beat of U.S. TY futures, with a lack of meaningful idiosyncratic drivers evident, to last deal unch. The YM/XM curve has bull steepened, although it sits off the early session wides, while 10+-Year cash ACGBS are marginally cheaper on the day, resulting in twist steepening of the broader ACGB curve. EFPs are mixed, with some notable twist flattening of the 3-/10-Year box apparent. Meanwhile, Bills run 1-8 ticks higher through the reds, with the post-FOMC minutes move higher in U.S. Eurodollar futures providing at least some of the impetus there, n addition to the squeeze in YM.

• Elsewhere, the latest round of ABS payrolls data revealed that “payroll jobs fell 0.6% in the month to 12 March 2022. There were differences across the fortnights, with payroll jobs falling by 0.8% in the second half of February and then rising slightly, by 0.2%, in the first half of March. These changes in payroll jobs coincided with adverse weather conditions and flooding in New South Wales and Queensland (in late February), the continuing influence of the COVID-19 Omicron variant and easing of pandemic restrictions across the country. Given the disruption to business operations from the weather and Omicron infections, the increase in payroll jobs in early 2022 continued to be weaker than in both 2020 and 2021, particularly over the last month.”