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Richer, Initial Jobless Claims Higher, Futures Roll Impacted Trading

AUSSIE BONDS

In futures roll impacted trading, ACGBs are (YM +4.4 & XM +5.7) after higher-than-expected initial jobless claims (+261k vs. +235k est.) strengthened US tsys. Cash US tsys finished 4-9bp richer across the major benchmarks. Weaker oil prices also proved to be a supportive factor for US tsys.

  • The lift in jobless claims also softened projected rate hike chances over the next three meetings. Fed funds pricing attached a 27% chance of a 25bp hike next week, with July and September receding to 78% and 68% respectively. Year-end rate cut chances remain soft while Jan'24 climbed back to fully pricing in a 25bp cut.
  • Cash ACGBs opened 5-6bp richer with the AU-US 10-year yield differential +3bp at +24bp.
  • Swap rates opened 5-6bp lower with the 3s10s curve flatter.
  • The bills strip is flatter with pricing +3 to +5.
  • RBA dated OIS opened 1-5bp softer across meetings.
  • The Bloomberg aggregate commodity index rose a further 0.33%, the 6th straight gain, while the base metals sub-index rose 0.73%.
  • The local calendar is light today. The next key data is on Tuesday with the release of Westpac Consumer Confidence (June) and NAB Business Confidence (May). Note that Monday is a public holiday for most parts of Australia.
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