Light Twist Steepening, With Futures Above Pre-FOMC Levels

The curve has seen some light twist steepening on the day, although futures are at or above pre-FOMC levels, with the initial hawkish reaction to the post-meeting statement and widely expected 50bp rate hike unwound as Chair Powell delivered his press conference.

• That leaves YM -0.8 & XM -1.8, with the major cash ACGB benchmarks sitting 0.5bp richer to 2.5bp cheaper across the curve, twist steepening.
• There hasn’t been anything in the way of tangible trans-Tasman spill over in the wake of firmer than expected NZ GDP data.
• Bills run 2-4bp cheaper through the reds, with light bear flattening apparent. RBA dated OIS is incrementally higher this morning, with ~17bp of tightening priced for the Feb ’23 meeting and a terminal cash rate of ~3.67% eyed.
• The latest labour market report headlines the domestic docket today, with inflation expectations data also due. Chinese economic activity data will also provide some interest, although broader focus on the country’s COVID approach and the backwards looking nature of the data may limit the market impact.