Off Lows But Still Cheaper

Weakness in e-minis and a subsequent bid in the U.S. Tsy space (on the previously outlined risk-negative headline flow) has provided support for Aussie bond futures, which were already relatively resilient in early Sydney trade, perhaps representing a degree of cross-market demand vs. the likes of U.S. Tsys after Friday’s U.S. Tsy-driven cheapening in futures during post-Sydney dealing. Still, bond futures have faded from best levels of the day, with e-minis off lows, even with the S&P 500 contract ~1.0% lower vs. Friday’s settlement. This comes after both YM & XM respected their overnight lows in early Sydney dealing, with the former dealing -2.5 & the latter -8.5 at typing.

• The cash ACGB curve has bear steepened, with a fairly parallel shift observed in the 10+-Year zone.
• EFPs have narrowed a touch, with the 3-/10-Year box flattening.
• The IR strip has twist steepened, running +6 to -7 through the reds.
• Monthly Chinese trade data did little for the space.
• Tuesday’s local event risk includes the monthly NAB business survey, CBA household spending data and the Q1 retail sales ex-inflation reading. We will also get index-linked supply from the AOFM.