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Holding Gains Ahead of Business Survey Data

AUSSIE BONDS

In future roll-dominated trading, ACGBs are holding mid-range (YM +19.8 & XM +17.1) ahead of February NAB Business Survey data after an initial spike lower at the Sydney session open is quickly reversed. Cash ACGBs are 17-21bp richer with the 3/10 curve 4bp steeper (+8bp earlier) as the U.S. Tsy 10-year yield pushes away from NY session lows in early Asia-Pac trade. US CPI data tonight.

  • AU/US 10-year yield differential -3bp at -21bp.
  • A similar story for swaps with the 3s10s curve 2bp steeper and rates 15-22bp lower, but off session best.
  • Elsewhere, the AOFM sells A$100mn of Aug-40 I/L ACGB with a cover of 2.43x.

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