ANZ note that "the futures roll in.....>

AUSSIE BONDS: ANZ note that "the futures roll in June sees the inclusion of the

May 2032s in the basket. As it currently stands, the duration adjusted spread

between the April 29s and the May 2032s (i.e. the shortest and longest bonds in

XMU0) is narrower than the current duration-adjusted spread between the Apr 29s

and the Jun 31s (i.e. the curve for XMM0). To us, this suggests that either the

32s will have to cheapen or the 31s richen between now and the roll. We are more

inclined to position for the 31s to richen, given that the overall supply

outlook is now tilted to the downside of our prior expectations. We recommend

putting on an ACGB April 2029/June 2031 flattener. Entry: 14.2bp Target: 6.0bp

Stop: 19.0bp."