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Remains Sharply Cheaper, Tracking US Tsys, CPI Monthly Tomorrow

AUSSIE BONDS

ACGBs (YM -7.0 & XM -12.0) remain sharply cheaper and just above Sydney session lows. The local calendar has been light, ahead of the CPI Monthly release for August tomorrow. Accordingly, local participants are likely on headlines and US tsys watch.

  • US tsys have marginally extended yesterday's losses, the 10-year yield has printed a fresh cycle fresh in recent dealing. This leaves cash tsys ~2bps cheaper across the major benchmarks. TYZ3 deals at 108-02+, -0-02+, a touch off the base of the 0-04+ range.
  • Cash ACGBs are 6-12bps cheaper, with the AU-US 10-year yield differential 2bps higher at -13bps.
  • Swap rates are 4-10bps higher, with the 3s10s curve steeper.
  • The bills strip has bear-steepened, with pricing -1 to -7.
  • RBA-dated OIS pricing is flat to 3bps firmer across meetings, with terminal rate expectations at 4.33% (+26bps).
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