Richer, Near Session Highs, Retail Sales Tomorrow

ACGBs (YM +6.0 & XM +5.0) are dealing near session highs, adding to yesterday’s post-CPI rally. At current levels, ACGB futures are 10-13bp higher than pre-CPI levels. Other than the previously flagged weaker-than-expected Q2 terms of trade data, there haven’t been any domestic drivers of note.

• Today’s local session strength has been assisted by an extension of the post-FOMC rally in US tsys in Asia-Pac trade. US tsys sit 0.5-3bps richer across the major benchmarks.
• Cash ACGBs are 6-7bp richer with the AU-US 10-year yield differential -3bp at +10bp.
• Swap rates are 6-7bp lower with EFPs little changed.
• The bills strip bull flattens with pricing +1 to +7.
• RBA-dated OIS pricing is 2-6bp softer for meetings beyond October. A 27% chance of a 25bp hike in August is priced. The expected terminal rate sits at 4.31% versus 4.45% ahead of the CPI data.
• Tomorrow the local calendar sees Q2 PPI data along with June Retail Sales.
• The latest monetary policy decision from the ECB headlines in Europe today.
• With Fed Chair Powell emphasising data dependency, today's US calendar sees Q2 GDP, durable goods orders, initial jobless claims and wholesale inventories, ahead of Friday's Q2 ECI and monthly PCE reports.
• Tomorrow the AOFM plans to sell A$700mn of 4.50% 21 April 2033 bond.