Sharply Cheaper, CPI Monthly Due Alongside Jun-31 Supply

ACGBs (YM -7.0 & XM -8.5) are sharply cheaper after the yield on the US 10-year tsy finished 9bps higher to 4.55%, the highest since the May 3 payrolls report. The driver of the move was an unexpected rise, the first time in four months, in the Conference Board measure of consumer confidence. US tsys extended losses after the US Tsy sold $US70bn of five-year notes at 4.553% — above the pre-auction level of 4.540 per cent, Bloomberg reported. An earlier offering of $US69bn in two-year notes also came on the soft side.

• Cash ACGBs are 7-9bps cheaper with the AU-US 10-year yield differential at -20bps.
• Swap rates are 5-8bps higher, with the 3s10s curve steeper.
• The bills strip has bear-steepened, with pricing -2 to -7.
• RBA-dated OIS pricing is 3-6bps firmer for meetings beyond August. Only 4bps of easing is priced by year-end from an expected terminal rate of 4.38%.
• Today, April's CPI prints and is expected to ease 0.1pp to 3.4%. Westpac’s April Leading Index and Q1 Construction Work Done are also due alongside AOFM’s planned sale of A$600mn of 1.5% Jun-31 bond.