Drifted Cheaper, No Cash US Tsy Trading In Asia-Pac Today

ACGBs (YM flat & XM -2.0) have ground cheaper throughout today’s Sydney session.

• With the domestic calendar largely empty until Thursday’s release of the June Employment Report, the local market has drifted weaker.
• Expectations of sustained strong pricing at today's Jun-51 auction proved accurate, as the weighted average yield printed through prevailing mids and the cover ratio printed around levels seen at recent longer-dated auctions.
• After today’s supply, the AOFM plans to sell another A$500mn of the 3.00% 21 November 2033 bond on Wednesday and A$700mn of the 2.75% 21 November 2027 bond on Friday.
• Cash ACGBs are flat to 2bps cheaper.
• The cash AU-US 10-year yield differential, currently at +16bps, is at its highest level since February. This places it in the upper half of the +/-30bps range observed since November 2022. However, it's worth noting that cash US tsys are not trading during today's Asia-Pac session due to a public holiday in Japan.
• Swap rates are 1-2bps higher, with the 3s10s curve steeper.
• The bills strip is little changed, with pricing flat to +1.
• RBA-dated OIS pricing is flat to 2bps softer for 2025 meetings. Terminal rate expectations drop to 4.42% versus its recent high of 4.52%.
• Tomorrow, the local calendar will see the Westpac Leading Index.