AUSSIE BONDS: Underpinned As RBA Terminal Pricing Moves Lower Post-Local Data
Aussie bond futures are back to probing post-local data highs (XM has actually shown through its previous session high, although the move was modest and hasn’t stuck) after the firmer than expected Chinese PMI data capped the data-inspired bid. That leaves YM +9.0 and XM +6.0, with the latest leg of support coming from another move lower in terminal rate pricing on the RBA-dated OIS strip, which is showing below 4.20% vs. just below 4.35% pre-local data. Cash ACGBs sit 4-8bp richer, with bull steepening in play. Bills are flat to +12, with the back end of the whites and front end of the reds leading the bid.
| OIS Strip Latest | OIS Strip Post-Today's Data | OIS Strip Pre-Today's Data | |
| Mar-23 | 3.55% | 3.55% | 3.56% |
| Apr-23 | 3.73% | 3.75% | 3.76% |
| May-23 | 3.91% | 3.94% | 3.95% |
| Jun-23 | 4.02% | 4.06% | 4.09% |
| Jul-23 | 4.10% | 4.17% | 4.19% |
| Aug-23 | 4.16% | 4.26% | 4.29% |
| Sep-23 | 4.19% | 4.27% | 4.32% |
| Oct-23 | 4.19% | 4.27% | 4.33% |
| Nov-23 | 4.17% | 4.25% | 4.32% |
| Dec-23 | 4.15% | 4.22% | 4.29% |
| Feb-24 | 4.10% | 4.17% | 4.24% |
| Mar-24 | 4.07% | 4.14% | 4.21% |
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