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Near Session Cheaps As Early Sydney Session Strength Reverses

AUSSIE BONDS

ACGBs (YM -4.0 & XM -6.0) are holding weaker and near cheaps after reversing early Sydney session strength. With the domestic calendar light, the local market has drifted with cash US tsys. In today’s Asia-Pac session, they are flat to 1bp cheaper, with a slight flattening bias. The US calendar is also light today.

  • The latest round of ACGB Nov-27 supply sees firm pricing, the weighted average yield printing through prevailing mids and the cover ratio jumping to a robust 4.3929x. Notably, today’s auction cleared with a low number of successful bidders, indicating aggressive bids from those investors.
  • Cash ACGBs are 3-6bps cheaper, with the AU-US 10-year yield differential at +9bps.
  • Swap rates are 2-4bps higher, with the 3s10s curve steeper.
  • The bills strip is cheaper with pricing -2 to -5.
  • RBA-dated OIS pricing is 1-4bps firmer across meetings, with later 2024/2025 leading. Terminal rate expectations sit at 4.43%.
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