Dramatically Stronger As U.S. Tsys Surge

ACGBs, in futures roll-impacted trade, are dramatically higher (YM +25.0 & XM +16.2) as U.S. Tsys surge following developments in the Silicon Valley Bank (SVB) situation. U.S Tsy 2-year yields decline 60bp as U.S.STIR shunts lower with Goldman Sachs and Barclays both revising their calls to steady for the March FOMC from +50bp previously. Cash ACGBs open 18-26bp stronger with the 3/10 curve 8bp steeper and the AU-US 10-year yield differential -5bp at –23bp.

• Swaps open with the 3s10s curve 6bp steeper, rates 16-23bp lower and EFPs 3-5bp wider.
• Bills are 10-42bp richer out to the mid-reds with the whites leading.
• RBA dated OIS pricing open 10-41bp softer for meetings beyond May with the later meetings leading. Pricing for the April meeting has declined to an 12% chance of a 25bp hike. Terminal rate expectations slump to 3.70%.
• The local docket delivers the February NAB Business Survey today. January showed a rebound in business conditions after a soft end to 2022.
• Tracking U.S. Tsys and monitoring SVB developments remains the play of the day, at least until the release of US CPI tonight.
• AOFM is scheduled to sell A$100mn 1.25% 21 August 2040 Indexed Linked ACGB today.