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Free AccessVIEW: RBC flagged up 5 trades of.......>
AUSSIE BONDS: VIEW: RBC flagged up 5 trades of interest yesterday:
- 1) Outright (monitoring): Buy ACGB Apr-25 outright at 45bp. With OMO repo
rates consistently at 0.18% and liquidity unlikely to be withdrawn for some
time, we think this will gradually roll down to the RBA's 0.25% YCC while
carrying positively.
- 2) Curve (entered): Enter 6m fwd 2-5s swap flattener (q/q) at 26bp, stop 33bp.
Roll-down 2.4bp/3mths. As with 5y ACGB, we expect 5y swap to roll down towards
shorter tenor rates. The structure gives us some protection against historically
tight basis spreads with the curve (rather than outright) helping buffer against
any widening in bills/OIS, and the q/q 5y leg avoid any bounce in 3m6m basis.
- 3) Cross-market (monitoring): Buy ACGB Apr-25 vs UST 3/8 Apr-25 at 10bp. We
prefer this part of the curve to the 10y benchmark spread.
- 4) Front-end curve/bill-OIS (monitoring): Play a 0-15bp range in
March-21/March- 22 bill futures spread.
- 5) Semis (entered): WATC Jul-24/Jul-28s flattener vs ACGB Apr-24/May-28 at
18.5bp. Stop 22bp, take-profit 13.5bp. Carry & roll-down 2.5bp/3mths
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.