Weaken Into Close As Market Eyes U.S. Payrolls Friday

Futures close at session lows (YM +2.8 & XM +3.3) as U.S Tsys give up early Asia-Pac strength. Cash ACGBs close at cheaps with yields 3bp lower and the AU-US 10-year yield differential down 2bp to -28bp, after hitting a cycle low of -32bp intraday. ACGBs' recent outperformance versus NZGBs is also noteworthy with the AU/NZ cash 10-year yield differential pushing to -90bp intraday, its lowest level since 2015, before closing unchanged at -85bp.

• Roll activity supported turnover in futures, with sellers of the rolls dominating thus far.
• Swaps bull flatten with rates 3-4bp lower and 10-year EFP slightly tighter.
• Bills closed 1-3bp firmer, flattening a touch.
• RBA-dated OIS closed flat to 3bp softer across meetings. April meeting pricing remains around a 55% chance of a 25bp hike with terminal rate pricing around ~4.07%.
• With no local data slated until next week the market will be likely guided by U.S Tsys through the release of February Non-Farm Payrolls (Fri). With Fed Chair Powell citing data dependency in his second testimony to congress, the market-moving potential of the data should not be underestimated.
• Elsewhere, a well below consensus China CPI (+1.0% y/y versus +1.9% expected) may renew calls for deeper policy easing.