CBA Look To Take Advantage Of The Carry & Roll Of YCC

Late Tuesday saw CBA recommend a long ACGB Apr '24 vs. short
ACGB Apr '23 position at 4.6bp, targeting 0.0bp, with a stop at 6bp. They
note that "RBA Asst. Gov. Kent made the specific point that the RBA
targets a level for the 3Y bond yield at around 0.25% and that the Apr-23
is the current bond that suits that purpose. It sits at 0.27%. The Apr-24
will be closest to the pin as of October, but should shift ahead of time…
the AGCB Apr '25 sits at ~0.32%, the level mentioned, perhaps in
passing, by the RBA Gov. in his Q&A remarks last week. Looking
down the curve, the ACGB Jul '22 into the ACGB Apr '23 is at 0.4bp, so
there is some merit to this. The TFF receive side flow will accelerate into
the September close which should keep 3Y EFP well offered. While this
also means investors should shy away from buying the bonds against
swap, it should also mean the differential between swap and bond
becomes more notable. This is even truer in the case of ACGB Apr 24
which will roll into the 'on-the-run' position."