March 16, 2023 02:42 GMT
Off Session Bests Due To Strong Jobs & Weaker U.S. Tsys
ACGBs remain richer on the day (YM +16.8 & XM +5.8) but pare back morning gains after stronger-than-expected employment data and in line with softer U.S. Tsys in Asia-Pac trade.
- The February Employment Report delivered an increase of 64.4k jobs (+50k expected) and a lower-than-expected unemployment rate of 3.6% (3.7% expected).
- U.S. Tsys have been pressured by reports that Credit Suisse was taking action to strengthen liquidity.
- Cash ACGBs 6-16bp stronger with the 3/10 curve +10bp.
- AU/US 10-year yield differential +12bp at -12bp.
- Swaps are 4-15bp richer but 9bp off session bests.
- RBA-dated OIS pricing is 29-33bp softer for meetings beyond May, but 3-5bp firmer from pre-employment data levels. April meeting pricing remains at -3bp with 30bp of easing priced by year-end.