Slightly Richer After US CPI, Employment Report Due

In roll-impacted dealing, ACGBs (YM +1.0 & XM +1.9) are slightly richer after US tsys finished near yield lows. US tsys initially sold off sharply as core CPI accelerated from +0.16% to +0.28% m/m in August. The 2-year yield saw 5.08% before finishing at 4.96%. Meanwhile, the 10-year yield traded as high as 4.34% but failed to breach cycle highs, before reversing to 4.24%. The general opinion from trading desks was that the CPI data did little to change the Fed's policy path (no change next week but with a hawkish tone if inflation percolates higher). Despite offering the highest yield since 2011, the 30-year bond auction produced middling demand metrics.

• Cash ACGBs have opened 1-2bp richer, with the AU-US 10-year yield differential +2bp at -12bp.
• Swap rates are 1-2bp lower.
• The bills strip is little changed, with pricing -2 to +1.
• RBA-dated OIS pricing is little changed across meetings.
• Today 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. Consensus expects a bounce back in job creation of +25k in August, with the unemployment rate unchanged at 3.7%.