STIR: RBNZ Dated OIS Pricing Little Changed After Q1 Employment Report

At the Tokyo lunch break, JGB futures remain sharply higher at 142.19, +53 compared to settlement levels, but well off session bests (142.95).

• “Details in Japan’s February labor cash earnings contained bad news for the Bank of Japan — the pace of increase in base pay for full-time workers on a same-sample basis — the central bank’s preferred gauge — slowed sharply and undershot the consensus forecast.” (per BBG Economics)
• The local calendar will also see Coincident & Leading Indices data later.
• Markets continue to be hit by the ongoing trade-related pullback in risk appetite, although some have begun to stabilise at lower levels due to selling fatigue and profit-taking, including risk-sensitive AUD and oil prices. US equity futures are down sharply but also off their intraday lows.
• Some Asian countries have said today that they will take steps to stabilise markets if needed and Japan has said it will speak with the US.
• Nevertheless, the market are continuing to digest the implications Friday’s unveiling of a 34% duty on all US imports by China.  
• Cash JGBs are flat to 11bps richer across benchmarks out to the 30-year (40-year flat), with the belly leading. The benchmark 10-year yield is 9.7bps lower at 1.120% versus the cycle high of 1.596%.
• Swap rates are 6-11bps lower. Swap spreads are mixed.

• China’s bond futures are rallying hard at the open with the 10YR leading.
• The 10YR future is up +0.50 to 109.08, breaking through a key technical level of 109.00in this morning’s trading.
• The 2YR future is up +0.09 to 102.64, this morning's trading seeing the 2YR trade through the 100-day EMA of 102.60.
• Cash moves has been significant with the 10YR lower by -8bps to 1.63%, a big drop since the high of 1.89% on March 17. 

ACGBs (YM +10.0 & XM +7.0) are richer but well below today's Asia-Pac session bests. 

• Markets continue to be hit by the ongoing trade-related pullback in risk appetite, although some have begun to stabilise at lower levels due to selling fatigue and profit-taking, including risk-sensitive AUD and oil prices.
• US equity futures are down sharply but also off their intraday lows.
• Some Asian countries have said today that they will take steps to stabilise markets if needed and Japan has said it will speak with the US.
• US tsy futures (TYM5) are dealing sharply higher at 113-19, +17 from closing levels, albeit well off the early high of 114-10. Cash US tsys are 3-13bps richer in today’s Asia-Pac session.
• Cash ACGBs are 5-7bps richer with the AU-US 10-year yield differential at +24bps.
• Bill strip pricing is +7 to +11, with whites leading.
• RBA-dated OIS pricing gives a 50bp rate cut in May a 50% probability, with a cumulative 117bps of easing priced by year-end (based on an effective cash rate of 4.09%).
• Earlier in the session, a 50bp rate cut in May was given an 80% probability, with a cumulative 133bps of easing priced by year-end.