NAB Highlight RBA Adjusted Supply, CPI & Month-End Support

NAB note that "with the AOFM only issuing $1bn of bonds this week (tomorrow, when they are tendering ACGB Jun '31) and the RBA buying $4bn of ACGBs, it is already a fairly tight week for sovereign bond supply. On top of this is a sizeable index extension on the back of the ACGB Nov '32 syndication earlier in the month and the upcoming ACGB May '21 maturity (AusBond 0-Year+ composite month end duration change estimated at +0.18). Given the mismatch between cashflows from maturities and the index extension, the impact is usually more acute in bond futures. But in combination with the soft Q121 CPI print yesterday, pressure will remain on the ACGB/U.S. Tsy spread to remain near the tight end of the range."