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AUSSIE BONDS: TD Securities have recommended entering a steepener through buying
ACGB 11/28 and selling ACGB 06/35 at "27bp, with a DV01 of A$50K and a stop set
- TD believe that "ACGB 11/28 is 2.2 s.d. cheap while the ACGB06/35 is 2.1 s.d.
rich vs average deviations from the fitted curve over the past 6 months. Our
model suggests the current spread is 6bps too flat. Also the potential for tax
cuts/spending promises ahead of the federal election in May could weigh on the
back end. The spread is at a key level and a break above should see the
steepening extend. AU10s30s has lagged US and Canadian 10s30s steepening, so
further off shore long end steepening is likely to drive long end ACGB
underperformance. Positioning is mixed, with no strong conviction."