Futures Hold Higher In Tight Trade

A muted Sydney session for the space has seen the overnight bull flattening in futures give way to a more parallel move, with YM +6.5 & XM +7.0 at typing, as both contracts stick to narrow ranges ahead of Wednesday’s notable offshore event risk (namely U.S. CPI).

• Cash ACGB trade sees some light outperformance for the 5- to 10-Year zone of the curve.
• EFPs are a touch wider on the day, although the 3-/10-Year box has seen some light flattening.
• The IR strip is -1 to +6 through the reds, with relatively limited Sydney dealing observed.
• The latest round of ACGB Jun-51 supply went smoothly enough (there were some worries evident among desks ahead of supply), with the cover ratio holding above 2.00x and the weighted average yield comfortably through prevailing mids, to the tune of 1.86bp, per Yieldbroker. Note that the high yield was only 0.24bp above the weighted average yield, perhaps revealing some domestic demand for yield in the wake of the latest sell off, given the previously outlined worry of international investors re: market vol.
• Local data saw a tumble in the monthly Westpac consumer confidence reading, with tighter RBA policy & higher inflation the main drivers there.
• Looking ahead to tomorrow’s session, we will get consumer inflation expectations data.