Watching U.S Tsys' Reaction To Weekend News

U.S. Tsys have been pressured in two-way trade through early Monday dealing as the market digested weekend news that UBS had taken over embattled Credit Suisse for around $2bn and an announcement of coordinated central bank action to enhance the provision of U.S. dollar liquidity. ACGBs remain firmer on the day (YM +11.0 & XM +8.0) but off levels seen ahead of the weekend.

• The 3/10 cash ACGB curve has bull steepened 2bp with the 3-year and 10-year benchmark yields respectively 10bp and 8bp lower.
• Swaps are at or near bests with rates 9-10bp lower with the 3s10s curve 1bp steeper and 10-year EFP slightly tighter.
• RBA dated OIS pricing is little changed for the April meeting (flat) but softer by 13-20bp for meetings beyond May.
• Today’s move appeared to receive a boost from a speech by RBA Assistant Governor Kent at the KangaNews DCM forum when he stated that “…it’s likely to take longer than usual to see the full effect of higher interest rates on household cash flows and household spending.”
• In the Q&A segment, Kent also noted that he had been in contact with global peers on the banking crisis and that the banking crisis would be among the issues the RBA will be considering at the April meeting.