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Drifting Weaker With US Tsy Futures, Light Calendar

AUSSIE BONDS

ACGBs (YM -6.0 & XM -4.0) are holding cheaper after trading in relatively narrow ranges in today’s Sydney session. With the domestic calendar light, the local market has drifted weaker in line with dealings in US tsy futures in today’s Asia-Pac session.

  • US tsy futures are dealing at 111-19, -0-04 compared to NY closing levels on Friday. Cash US tsys are not dealing in today’s Asia-Pac session due to Japan being out for a public holiday.
  • Cash ACGBs are 4-5bps cheaper, with the AU-US 10-year yield differential unchanged at +13bps.
  • Swap rates are 4-5bps higher.
  • The bills strip is cheaper, with pricing -1 to -7.
  • RBA-dated OIS pricing is flat to 8bps firmer across meetings out to December. A cumulative 39bps of easing is priced for 2024.

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