Tsy-Derived Bearish Bias Holds

The spill over from Friday’s NY U.S. Tsy dealing (which was driven by follow through from firmer than expected U.S. PPI data) biases ACGBs lower to start the week, with the major cash benchmarks sitting 2-7bp cheaper across the curve and bear steepening in play.

• YM operates a little above its post Sydney lows, -2.0, while XM extended through its on own base in early Sydney trade, before retracing Monday’s early blip lower, to trade -5.6.
• Roll activity will continue to boost volumes, with calculations pointing to ~22% of the YM roll being completed as of Friday, alongside ~30% completion for the XM roll.
• Bills print -1 to -4 through the reds, bear steepening. RBA dated OIS pricing is little changed to a touch firmer, looking for ~16bp of tightening at the Feb ’23 meeting and a terminal cash rate of ~3.60%.
• As we have noted elsewhere, macro headline flow will take focus from here, with continued regional (and indeed global) eyes on the COVID situation in China. The latest Japanese Tankan survey provides the highlight of the regional economic calendar on Monday, but that shouldn’t move the needle for AU markets.