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Richer After Jobs Data Miss


ACGBs (YM -1.0 & XM -4.0) are 3-5bp richer after the July employment report prints weaker than expected. Employment fell 14,644 versus +15,000 estimate. The unemployment rate unexpectedly rose to 3.7% versus expectations of 3.6% and 3.5% prior.

  • Cash ACGBs are 1-5bp cheaper on the day, but 3-5bp richer after the data. The AU-US 10-year yield differential is 5bp narrower at -2bp.
  • Longer end ACGBs have been relatively pressured by US tsys, which sit weaker and at Asia-Pac lows.
  • Swap rates are flat to 4bp higher on the day, with the 3s10s curve steeper.
  • The bill strip has twist steepened with pricing +2 to -1.
  • RBA-dated OIS pricing is 4-8bp softer foe meetings beyond November, with mid-’24 meetings leading.

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