Significantly Weaker, US Tsys Bear-Flatten After CPI Print

ACGBs (YM -12.0 & XM -10.5) are significantly cheaper after the US CPI Report printed higher than expected across the board. US tsys bear-flattened, with yields finishing 9-21bps higher.

• Both headline and core CPI inflation figures for January surpassed expectations by 0.1 percentage points, with rounding pushing the annual figures up by 0.2 percentage points. The core measure increased by 0.4% m/m, maintaining the annual increase of 3.9% y/y, unchanged from the prior month.
• Projected Fed rate cut pricing continued to ebb, with March’s chance of a 25bp rate cut currently at 11% vs. 18% on Monday.
• The NASDAQ collapsed -1.8% after being on the verge of a 16,000 close Friday. The S&P 500 plunged 1.3% to 4953 after finally attaining the 5k level and Friday's all-time peak of 5026.6.
• Cash ACGBs are 10-11bps cheaper, with the AU-US 10-year yield differential 3bps lower at -4bps.
• Swap rates are 10-11bps higher, with the 3s10s curve flatter.
• The bills strip has sharply bear-steepened, with pricing flat to -13.
• RBA-dated OIS pricing is 5-9bps firmer for meetings beyond June. A cumulative 29bps of easing is priced by year-end.
• Today, the local calendar is empty, apart from the AOFM’s planned A$800mn sale of the 1% December 2030 bond.