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NAB: New ACGB Nov-31 Fair Value Around EFP+9bp

AUSSIE BONDS

NAB note that "the AOFM has announced a new Nov-31 maturity ACGB will be issued by syndication in the week beginning 24 August. We estimate fair value of the new bond is at an EFP of +9bp, or 3bp over the ACGB Jun-31. We assume a coupon of 1.00%. The new bond will be issued into the middle of the current 10Y futures basket. The Dec-30, issued in May, is also surrounded by basket bonds but has itself not yet entered the basket. However, the Dec-30 does not trade appreciably cheaper than basket bonds around it. Similarly, the new Nov-31 fair value should not need adjustment."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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