Holding Flatter, OIS Moves Higher Again

Aussie bond futures have stuck to relatively tight ranges during Sydney dealing, failing to probe their respective overnight session bases, leaving YM -9.5 and XM -3.0 as we move towards the Sydney close.

• Wider cash ACGB trade sees the major benchmarks running 9bp cheaper to little changed, with the flattening impetus maintained through the session.
• Bills run 8-18bp cheaper through the reds, with RBA dated OIS adjusting higher in early Sydney trading.
• OIS now price ~45bp of tightening for next month’s RBA, while terminal rate expectations sit at ~4.30%, a little shy of session highs, but still ~15bp firmer on the day.
• The 3-/10-Year EFP box has flattened, with payside flows/hedging linked to the aforementioned OIS repricing likely helping 3-Year EFP push ~6bp wider, while 10-Year EFP is ~1bp wider.
• The lack of meaningful domestic headline flow and scope of the moves in core global FI markets left broader drivers at the fore.
• Tomorrow’s domestic docket is slim, with I/L supply from the AOFM the only point of note.