### POV: ROLL IN THE AUSSIE 10-YEAR....>

AUSSIE BONDS: ### POV: ROLL IN THE AUSSIE 10-YEAR FUTURE COULD CHEAPEN FURTHER

AHEAD OF KEY EVENTS

- Record Open Interest in the Aussie 10-Year futures contract and a rally in

Aussie debt that has compressed the spreads in AU/US yields to 17-year lows

suggests long positions in the 10-Year.

- The spread has already cheapened from 1.5 ticks at the start of the week to

0.5 ticks last with some decent volume going through the past 2 sessions. Roll

is still only around 10% complete with aggregate open interest across both

contracts at a record high of 1,116,616. 

- There are several key events next week which could affect the level of Aussie

futures and the roll ahead of the December 15 last trading day. The key events

will be the FOMC meeting on December 13 (25bp hike expected), Australian Labour

Market data on December 14 and an EU Summit on December 14. These risk events

will likely compel investors to roll well before the contract expiry.