Sitting Near Sydney Session Highs, US CPI Due Later Today

In roll-impacted dealing, ACGBs (YM +0.2 & XM +2.5) sit at or near Sydney session highs. CBA household spending data, just released, +0.7% m/m and +2.3% y/y versus flat and +1.3% prior. So far, the data hasn’t materially impacted the market.

• Without domestic drivers, local participants appear to have been sitting on the sideline ahead of key US CPI data later today. US tsys are holding marginally cheaper through the Asia-Pac session. Ranges remain narrow, with US tsys ~1bp cheaper across the major benchmarks.
• The cash ACGB curve has bull-flattened, with yields from flat to 2bp lower. The AU-US 10-year yield differential is 2bp lower at -14bp.
• Swap rates are flat to 2bp lower, with the 3s10s curve flatter and EFPs marginally wider.
• The bills strip is cheaper, with pricing flat to -2.
• RBA-dated OIS pricing is flat to 2bp firmer across meetings.
• Tomorrow the local calendar sees the Employment Report for August, along with Consumer Inflation Expectations data for September.
• In July, employment growth surprised materially to the downside, falling by –14.6k, with the ABS suggesting that “some changes around when people take their leave and start or leave a job” provided a partial explanation. Consensus expects a bounce back in job creation of +25k in August, with the unemployment rate unchanged at 3.7%.