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Post-Jobs Data Gains Pared, Pressured By US Tsys & JGBs


ACGBs (YM -5.0 & XM -9.0) sit weaker, well off session bests, despite the July employment report printing significantly weaker than expected. Employment fell 14,644 versus the +15,000 estimate. The unemployment rate unexpectedly rose to 3.7% versus expectations of 3.6% and 3.5% prior.

  • ACGBs had richened 3-5bp immediately after the data, but subsequently unwound those gains, particularly at the long end as the local market got caught in spillover selling after the 20-year JGB auction saw a very poor outcome. The cover ratio declined sharply, and the auction tail lengthened to its longest since 1987.
  • Cash ACGBs are 4-9bp cheaper on the day, but flat to 2bp richer after the data. The AU-US 10-year yield differential is 3bp tighter at flat.
  • Longer-end ACGBs have been relatively pressured by US tsys, which sit ~3bp weaker and at Asia-Pac lows.
  • Swap rates are 4-8bp higher on the day, with the 3s10s curve steeper.
  • The bill strip has bear steepened with pricing flat to -6.
  • RBA-dated OIS pricing is 1-2bp firmer for meetings beyond Feb’24.
  • Tomorrow the local calendar is empty.
  • There is a thin docket in Europe today, further out we have US initial jobless claims and US Conf. Board leading index.

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