Post-RBA Sell-Off Continues

ACGBs (YM -5.0 & XM -2.0) are at session cheaps and holding a bear-flattening in a data light session. With cash US tsys closed for the Juneteenth holiday, today’s weakness has been driven by further post-RBA selling.

• The market was surprised by the realisation that the RBA considered a hike but not a cut given that it was inconsistent with previous statements that the RBA was "not ruling anything in or out."
• Earlier, today’s auction of Jun-35 bonds showed relatively tepid demand with the cover ratio being a modest 2.2125x versus 2.925x in May and 2.8438x in March.
• As highlighted in our preview, today's auction bid may have been affected by a relatively low outright yield and the flattest 3/10 cash curve since September last year. The AOFM plans to sell A$700mn of the 1.50% 21 June 2031 bond on Friday.
• Cash ACGBs are flat to 2-4bps cheaper, with the 3/10 curve flatter.
• Swap rates are flat to 3bps higher, with EFPs tighter.
• The bills strip has cheapened, with pricing -2 to -4.
• RBA-dated OIS pricing is 3-9bps firmer than pre-RBA levels. A cumulative 8bps of easing is priced by year-end.
• Tomorrow, the local calendar is empty.