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On Wednesday TD Securities.............>

AUSSIE BONDS
AUSSIE BONDS: On Wednesday TD Securities recommended buying ACGB 11/2020 and
selling ACGB 11/2022 in A$50k DV01, negative carry of 1bp/m.
- TD note that the "spread is near the range lows and our fitted curve model
indicates it is 5.5bp too flat. The ACGB 11/20 is trading 3 s.d cheap based on
deviations from the fitted curve over the last 6 months. The current yield is
~3bp higher than fair. The ACGB 11/20 falling out of the 3yr futures basket is
driving the cheapening of this line. Risks highlighted are that the ACGB 11/22
is in the 3yr futures basket and the basket is trading 3bp cheap as quarter end
funding pressures build. Quarter end pressures subsiding could see ACGB 11/22s
outperform if 3yr basket cheapness is unwound."
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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