Slightly Richer, US Tsy Futures Re-Open Weaker After Fed Waller’s Comments

ACGBs (YM flat & XM +2.5) are slightly richer after US tsys finished the NY session 2-5bps richer. In the absence of economic data or fresh catalysts, the move appeared driven by month-end extensions and a strong 7-year tsy auction.

• The issue yield (4.185%) was 0.8bp below the W/I of 4.193% at the auction deadline. The bid to cover (2.61) rose from Feb's 2.58 and indirect bidders (69.7%) rose from Feb's 69.6%.
• The S&P 500 climbed 0.9% to 5248, the 21st new high for 2024.
• Aftermarket, Fed Waller said the Fed should wait a "couple months" to get a better understanding of the trajectory of inflation, but he still expects the central bank to begin reducing the target range for the federal funds rate this year. (See MNI link)
• Jun'24 10Y futures gapped lower at the Asia-Pac open following Fed Waller’s comments. TYM4 is dealing at 110-25, down 03+ from the close.
• Cash ACGBs are 1-2bps richer, with the AU-US 10-year yield differential 2bps higher at -21bps.
• Swap rates are 1-2bps lower.
• Bills are flat to -1 across the strip.
• RBA-dated OIS pricing is slightly mixed across meetings. A cumulative 40bps of easing is priced by year-end.
• Today, the local calendar sees Retail Sales, Consumer Inflation Expectations, Private Sector Credit and Job Vacancies data.