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Slightly Richer, Tracking US Tsys, Local Calendar Light Until Jobs Data On Thursday

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ACGBs (YM +3.0 & XM +2.5) are stronger but at or near session lows after US tsys open the week cheaper.
  • After closing 4-8bps richer across benchmarks last week, cash US tsys are dealing ~3bps cheaper in today’s Asia-Pac session. This comes despite Iran’s military launching drones and missiles against Israel over the weekend, in a significant escalation of hostilities.
  • Cash ACGBs are 2-3bps richer, with the AU-US 10-year yield differential at -30bps. At -30bps, the cash differential currently sits at the bottom of the range of +/-30bps which has been observed since November 2022.
  • A simple regression of the AU-US cash 10-year yield differential against the AU-US 1Y3M swap differential over the current tightening cycle indicates that the 10-year yield differential is 9bps too low versus its fair value.
  • Swap rates are flat to 1bp lower.
  • The bills strip is richer, with pricing +1 to +4.
  • RBA-dated OIS pricing is slightly softer across meetings. A cumulative 22bps of easing is priced by year-end.
  • The highlight of this week’s local calendar is the Employment Report for March on Thursday. The calendar is light until then.
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ACGBs (YM +3.0 & XM +2.5) are stronger but at or near session lows after US tsys open the week cheaper.
  • After closing 4-8bps richer across benchmarks last week, cash US tsys are dealing ~3bps cheaper in today’s Asia-Pac session. This comes despite Iran’s military launching drones and missiles against Israel over the weekend, in a significant escalation of hostilities.
  • Cash ACGBs are 2-3bps richer, with the AU-US 10-year yield differential at -30bps. At -30bps, the cash differential currently sits at the bottom of the range of +/-30bps which has been observed since November 2022.
  • A simple regression of the AU-US cash 10-year yield differential against the AU-US 1Y3M swap differential over the current tightening cycle indicates that the 10-year yield differential is 9bps too low versus its fair value.
  • Swap rates are flat to 1bp lower.
  • The bills strip is richer, with pricing +1 to +4.
  • RBA-dated OIS pricing is slightly softer across meetings. A cumulative 22bps of easing is priced by year-end.
  • The highlight of this week’s local calendar is the Employment Report for March on Thursday. The calendar is light until then.