Richer, Narrow Range, CPI Monthly Tomorrow

ACGBs are showing strength in the Sydney session (YM +4.0 & XM +3.5). The trading range has been relatively narrow given the lack of significant domestic drivers.

• US tsy futures are slightly cheaper in Asia-Pac trade, after giving up early strength.
• Cash ACGBs are 3-4bp richer with the AU-US 10-year yield differential -1bp at +19bp.
• Swap rates are 3-4bp lower with the 3s10s curve steeper. EFPs are little changed.
• The bills strip bull flattens with pricing flat to +7.
• RBA-dated OIS pricing is 1-5bp softer across meetings. A 36% chance of a 25bp hike at the July meeting is priced.
• Consumer confidence increased by 2.5 points last week, but the index remained below 80 points for the 17th straight week, according to a survey by ANZ Bank and pollster Roy Morgan. Consumer confidence remains at levels comparable to a highly destructive recession in the early 1990s.
• Tomorrow sees the release of CPI Monthly (May) ahead of Thursday's release of Retail Sales (May). CPI monthly is expected to print at 6.1% y/y, after the unexpected jump to 6.8% in April. Meanwhile, retail sales are expected to provide further confirmation that the consumer slowdown is underway.