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Richer, Off Bests, Dec-34 Supply Goes Well


ACGBs are richer (YM +5.0 & XM +6.0) but off session highs, after ACGB Dec-34 supply sees the recent run of strong pricing at ACGB auctions continue. The latest round of supply sees solid demand with the weighted average yield printing 1.03bp through prevailing mids and the cover ratio moving higher to 3.8186x from 3.6250x at the May auction.

  • With the local calendar light, local participants have likely been on headlines and US tsys watch. So far in Asia-Pac trade, yesterday’s US tsy strength has faded with yields 1-2bp higher across major benchmarks.
  • The Australian economy will expand by 1.5% in 2023, 1.5% in 2024 and 2.4% in 2025, according to a survey conducted by Bloomberg News. A survey of 44 economists was conducted from June 15-20. The chance of a recession happening over the next 12 months is 50%, according to 18 respondents. (See link)
  • Economists expect the 10-year bond yield to increase to 3.98% by end-Q3. The RBA cash rate is expected to reach 4.60% by end-Q3.
  • Cash ACGBs are 5-6bp richer with the AU-US 10-year yield differential +1bp at +23bp.
  • Swap rates are 5bp lower with EFPs slightly wider.
  • Bills are 2-4 richer across the strip.
  • RBA-dated OIS pricing is 1-6bp softer across meetings with Feb’24 leading.

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