Strong Rally Ahead Of U.S. Payrolls

ACGB's close at highs (YM +10.8 & XM 12.6) with the wider risk-averse tone (centred on worry in the U.S. banking sector) setting the stall out for the space. Cash ACGBs close 10-12bp richer with the 3/10 curve 2bp flatter and AU/US 10-year yield differential +4bp at -24bp versus its cyclical low of -32bp intraday yesterday.

• Swap rates fell 12-17bp, although the move faded from extremes, particularly at the short-end.
• Similarly, Bills were stronger but off session bests with closes +4-10bp.
• RBA dated OIS softens 6-13bp for meetings beyond June with terminal rate expectations holding below 4.0% level at 3.98%. Notably, pricing for April declined to less than a 50% chance of a 25bp hike.
• With February Non-Farm Payrolls due in the overnight session, the market will stay tuned to developments in U.S. Tsys through the release. With data dependency the flavour of the week for the Fed, the market-moving potential of the data should not be underestimated.
• Beyond that, next week delivers February U.S. CPI (Tue), and February NAB Business Confidence (Tue) and Employment (Thu) in Australia. Attention to these releases will be amped up given the RBA's explicit focus on these data prints.