Fixed Income: Weekly Strategy - Commonwealth Bank

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Oct 28, 2013 (3 years and 5 months ago)

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Fixed Income: Weekly Strategy
27 February 2012

A
dam Donaldson Head of Debt Research T. +612 9118 1095 E. adam.donaldson@cba.com.au
Philip Brown Quantitative Strategist T. +612 9118 1090 E. philip.brown@cba.com.au
A
lex Stanley Associate Analyst, Fixed Income T. +612 9118 1125 E. alex.stanley@cba.com.au
Important Disclosures and analyst certifications regarding subject companies are in the Disclosure and Disclaimer Appendix of this document and a
t
w
ww.research.commbank.com.au. This report is published, approved and distributed by Commonwealth Bank of Australia ABN 48 123 123 124 AFSL 234945.

Taking advantage of an RBA that’s getting less Dovish by the day

The RBA seems to be quite comfortable with the current cash rate, so we move to pay 6M*6M OIS.

The NZ market, in contrast, is pricing rate rises. We suggest paying AUD rates against NZD swap rates.

We examine the new paradigm for Aust-US bond spreads, given the current extraordinary policy settings.

In the Australian market, the most notable event of the last week was
RBA Governor Stevens’ testimony to a Parliament Committee on Friday.
Stevens’ tone and description of the economic outlook argues for a shift
in the balance of risks to the cash rate towards no change. Front end
A
ussie rates lifted after the testimony, but are little changed from last
Monday’s levels. The market is still factoring in between one and two
25bp rate cuts by the end of the year. But, as Philip Brown discusses on
Page 3, we think it’s more of a no change to one RBA rate cut prospect.
Hence we see value in paying 6M OIS, 6M forward.
While the Aussie market contemplates a shallower easing cycle, the Kiwi
market has moved to price tighter policy from the RBNZ. The divergence
between Australian and NZ front end rates is striking. As Alex Stanley
explains on Page 13, this pricing structure isn’t likely to remain in place
for long. We move to pay AUD 2Y*1Y swap versus a received NZD
2Y*1Y position.
On the global front, the major event early last week was the passage of
the latest Greek bailout tranche. The market had expected this outcome
and so there was no major reaction after the event. Economic risks in
the region are now a bigger focus. To this end, the worse than expected
Eurozone PMI readings for February served as a bit of a reality check.
Europe was the major point of focus at the weekend G20 meeting, but
there were few major implications for markets beyond calls to manage
implementation risks of austerity measures and “firewall” policies.
The US 10Y yield hit a high of 2.08% last week – failing to break through
the top its 3 month trading range. The 10Y yield has since rallied back
below 2.00%. Safe-haven bets are receding and ongoing signs of an
improving economy still argue for a higher US 10Y yield, in our view.
Spreads to the Aussie market should contract as US yields break higher,
but we expect spreads at different tenors to behave in a historically
unusual manner. Philip Brown explains the new paradigm for Aus-US
spreads on Page 6.
The week ahead gives the Aussie market a chance to better assess the
RBA’s view for a trend growth outcome in 2012. On Wednesday, it will
be the less positive indicators: January credit growth and retail sales
data. On Thursday, the more positive indicators, Q4 construction work
done (CBA -1% q/q) and the Capex survey, (+0.3% q/q) are released.
In the US, this week’s major focus is likely to be Fed Chairman
Bernanke’s semi-annual monetary policy testimony. We doubt he’ll be
too keen to talk up an end to the very accommodative monetary policy
regime until the strength of the recovery is more assured. Durable goods
orders and the manufacturing ISM survey are also out this week.
In Europe, the ECB’s second LTRO is scheduled for Wednesday night
(Sydney time).

Contents:
Key Positions......................................................................... 2

Key Trades ............................................................................ 2

RBA is growing more confident, pay 6M*6M OIS ................. 3

Mission (near) Impossible: Aus-US 2Y spreads to
widen but 10Y tighten (First published 23 February) ............ 6

Aussie versus Kiwi front end swap spreads to widen
(First published 24 February) .............................................. 13

Key Views............................................................................ 17

CBA Forecasts: .................................................................... 19

Calendar – February 2012 ................................................... 20

Calendar – March 2012....................................................... 21



Forward rates sell-off around time of last rate
cut, anticipating a rate rise
Source: Bloomberg, CBA



2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
1997 2000 2003 2006 2009 2012
Cash Rate
1Y*1Y (MA 10)
2Y*1Y (MA 10)
Last cut...
Global Markets Research
Fixed Income: Weekly Strateg
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Key Positions
We have shifted to an explicit short recommendation on the front of the Aussie curve. The Governor’s testimony on Friday
was the last straw. We think the RBA is quite comfortable at current levels and although one more rate cut is possible, a
long stretch of “no change” is a growing likelihood. We pay 6M*6M OIS to take advantage of continued rate-cut pricing.
Last week we recommended two other trades. The first was a NSWTC linker vs ACGB nominal trade, which combined our
view of a sell-off in rates with semi outperformance. The sell-off should widen BEIs while the semi outperformance is a
natural consequence of the improving sentiment.
We also recommended paying AUD 2Y*1Y against NZD 2Y*1Y because the RBA pricing seems to be lagging the RBNZ
expectations. Normally, they move together.

Key Trades
Trade Entry Curent Profit Target Stop Comment
Buy the TCV Jun-20 vs
NSWTC May-20
0.5bp
(16-Nov-11)
-2.5bp -3bp 10bp -5bp
Hold: TCV’s AAA is safe and the funding
task is modest. NSW is subject to some
rating risk.
Buy the ACGB Apr-23 versus
the Apr-20.
31bp
(12-Jan-12)
27bp +4bp 20bp 37bp
Hold: RV analysis reveals the Apr-23 is
cheap against the Apr-20
Pay the 5Y in the AUD
2Y/5Y/10Y butterfly
+1.5bp
(23-Jan-12)
+4bp +2.5bp +12bp -5bp
Hold: RV scan suggests butterfly is too
low.
Buy the WBC Feb-17 covered
bond against the NAB Mar-18
30bp
(25-Jan-12)
51bp +21bp 60bp 20bp
Hold: We believe covered bonds should
outperform other fixed rate senior bonds.
Buy a 6M put on the Oct-14
bond at a strike of 4.10%
5bp premium
(9-Feb-12)
3.68%
Hold: The bearish side of a pair of trades
to protect against tail risks. Rates could
pop higher if Europe remains calm.
Buy a 20bp OTM conditional bull
steepener. (2.9 times 3.31% call
on Apr-15 and 1.0 times 3.89%
call on Jul-22. Implicit slope
58bp).
6bp premium
(9-Feb-12)
Current
slope: 47bp
(well OTM)

Hold: The bullish side of a pair of trades
to protect against tail risks.
Enter a 2Y/10Y NZD swap
steepener
145bp
(10-Feb-12)
141bp -4bp 180bp 130bp
Hold: The NZ curve seems poised to
steepen if the global recovery continues
Buy the QTC Jul-22 against the
NSWTC Mar-22
51bp
(15-Feb-12)
35bp +16bp 20bp 63bp
Hold: QTC has stabilised the liabilities to
revenue ratio.
Buy the ACGB Jul-22 vs the
UST Feb-22
217bp
(15-Feb-12)
217bp 0bp 190bp 230bp
Hold: Our new bond forecasts suggest
the US yields could underperform AUD
Receive 3Y EFP 61bp
(20-Feb-12)
62.5bp -1.5bp 45bp 70bp
Hold: As sentiment improves the 3Y
spread should drop.
Buy the NSWTC Nov-25 Linker
against the ACGB Apr-27
Nominal
204bp
(20-Feb-12)
208bp
+4bp
240bp
180bp
New Trade: We expect breakevens to
rise and semis to outperform
Pay the AUD 2Y*1Y swap rate
against NZD 2Y*1Y swap
59bp
(25-Feb-12)
56bp
-3bp
85bp
45bp.
New Trade: AUD to NZD 2Y*1Y has fallen
in last weeks, but is generally trending up.
There are discrepancies between RBA
pricing and RBNZ pricing.
Pay 6M*6M OIS
3.91%
(27-Feb-12)


4.30%
3.71%
New Trade: We think the RBA has one
more rate cut in them, at most. If we are
at a turning point, then this trade is ideal.






Global Markets Research
Fixed Income: Weekly Strateg
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RBA is growing more confident, pay 6M*6M OIS
Philip Brown – Fixed Income Quantitative Strategist – 61 3 9675 7522 – philip.brown@cba.com.au


Our forecast is for one more RBA rate cut. We see risks to the upside though. No change is a growing prospect.

We move to position for a turn-around in market expectations of the RBA with a 6M*6M OIS trade.

If the RBA cuts once more, or not at all, the 6M*6M still settles with a profit.


For a while now, our forecasts have been for
one more rate cut while the RBA implied pricing
has been for at least two more rate cuts (Figure
1). We have not suggested an outright paid
position in Aussie rates before now, because of
the risk of a large rally triggered by a European
problem. (Though we did suggest taking short
exposure via options on 9 February.)
However, after the Governor’s testimony on
Friday, we now move to create an outright short
position. We pay the 6M*6M OIS rate at 3.91%.
The RBA seems very comfortable with the
current situation and seems unlikely to cut rates
without a compelling change in the data. At the
same time, the ECB’s second LTRO (on
Wednesday night) should keep European risk
under control for the short term.
The RBA’s current disposition could easily see
the RBA leave rates on hold for three to six
months while they assess the data. At that
point, it becomes quite possible that the next
RBA move is up, not down. That’s not our core
expectation, but it is a growing possibility.
The RBA seems to be making itself
comfortable at 4.25%
All the indications from Friday’s testimony from
Governor Stevens are that the RBA is starting to
get comfortable with a cash rate at 4.25%.
We saw three major clues to future RBA
behaviour in the Governor’s testimony. First,
the RBA will not attempt to “correct” the two-
speed economy. Second, the RBA is already
expecting the unemployment rate to rise, which
makes a ‘material weakening’ in demand a high
bar to meet. Third, the RBA wasn’t expecting
all 50bp of the Nov/Dec moves to be passed on
to mortgages.
Australia still has significant variation between
strong sectors and weak but the RBA will not
(and cannot) do much about this. The
groupings can be either economic (Retail vs
Mining) or geographic (WA vs Tas), but the story
is the same. The RBA cannot hope to target
only one sector or region, since they set the
cash rate for the whole country at once. This
statement is always true – its basic
Figure 1: Our forecasts are above market
pricing
Source: Bloomberg, CBA

Figure 2: Unemployment
Source: Bloomberg, CBA



3.00
3.25
3.50
3.75
4.00
4.25
4.50
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
%
CBA Forecasts
27-Feb-12
3.80
4.00
4.20
4.40
4.60
4.80
5.00
5.20
5.40
5.60
5.80
6.00
2005 2006 2007 2009 2010 2012 2013
Unemployment
CBA Forecasts
Take outright short
position for the first
time in a while
RBA getting
comfortable at
4.25%
Two-speed
economy
Global Markets Research
Fixed Income: Weekly Strateg
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macroeconomics - but the fact that the RBA
chose to raise it now has an important subtext:
don’t expect the RBA to ride to the rescue of a
weak retail sector.
During the Q&A session the Governor Stevens
and Dep. Gov. Lowe gave descriptions of their
expectations for unemployment. They expect
unemployment to rise “a little bit” and that it
could reach 5.5%. That’s quite a long way
above the current rate of 5.1%. (See Figure 2.)
Importantly, though, we very much doubt that
the RBA’s views on employment have changed
much since the February meeting. (If anything,
they would have improved because the January
data surprised to the strong side on 16 Feb.)
To reiterate: the RBA, in February, while
expecting the unemployment rate to rise to
5.5%, decided to leave rates on hold. This
forecast also puts some more detail around
what demand “weaken[ing] materially” might
actually be. It would seem to be that materially
weaker demand suggests an unemployment
rate above 5.5%.
Finally the RBA more-or-less admitted they did
not expect the banks to pass on the full 50bp of
rate cuts in November and December:
“The Board lowered the cash rate by 50 basis
points in the closing months of 2011. Perhaps
surprisingly in the face of developments in
wholesale funding costs, this was initially fully
reflected in a reduction in most lending rates,
though there has been a partial reversal of that
recently.”
The RBA seems unlikely to cut rates again for
“catch-up” reasons, since they didn’t expect
the full 50bp of cuts anyway.
Overall, the RBA continues to describe growth
in the economy as “at trend” and inflation is not
at concerning levels. A ‘material weakening’ of
demand seems a high bar as it suggests an
unemployment rate at 5.5% or more. The RBA
could leave the cash rate at 4.25% for a while.
In the short term, a rate cut is more likely than a
hike, but the longer the cash rate is unchanged
the more likely it becomes that the next move is
up.
How would the front end react to that?
The market is still pricing more rate cuts. The
RBA seems more optimistic than the market in
general. Though, that might not last for long.
Forward rates have, historically, tended to start
to sell-off around the time of the last rate cut, in
anticipation of the coming rate hikes. (See
Figure 3.)
Unfortunately, we have less history on the
behaviour of OIS rates. However, the OIS
seems to “anticipate” the turning points of


Figure 3: Forward rates respond around time of
last rate cut
Source: Bloomberg, CBA


Figure 4: OIS rates have less history, but same
hints
Source: Bloomberg, CBA






2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
1997 2000 2003 2006 2009 2012
Cash Rate
1Y*1Y (MA 10)
2Y*1Y (MA 10)
Last cut...
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
2002 2004 2006 2008 2010 2012
Cash Rate
6M OIS
1y OIS
Last cut...
Anticipates cuts too
Unemployment
expectations
RBA wasn’t
expecting banks to
pass on in full
Market still pricing
an easing scenario
Global Markets Research
Fixed Income: Weekly Strateg
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cycles too. In 2009 the OIS sold-off sharply
well before the rate hike. In both 2008 and
2011 the OIS started rallying before rate cuts.
We have already positioned with a forward
starting swap rate spread trade between
Australia and New Zealand. This will provide us
with some profit in the event of an Australian
sell-off. (See page 13) However, we would like
to position with a direct RBA trade too.
We would like to be short IBs or paid OIS in
some form. The current shape of the IB curve
(see Figure 1) has approximately one rate cut
per quarter for the next two quarters. We think
paying the 6M*6M OIS at its current yield of
3.91% is the best strategy. The 6M*6M
performs very well if we are approaching a
turning point and quite well in an RBA-pause
scenario too.
Barring a mis-step in Europe, the most we can
see is one further RBA rate cut. In this case,
the 6M*6M OIS still works, because the current
rate is 3.91%, below the settlement of 4.05%
(not 4%, it’s higher because of compounding in
the OIS).
However, we are starting to see the possibility
that the RBA may have cut for the last time this
cycle. If so, then the 6M*6M forward rate has
very attractive carry properties and should
settle around 4.30%. In either a “one more” or
“zero more” rate cut scenario the 6M*6M OIS
does well.
It’s not likely, but it is possible, that the market
could do even more than that, though. The
market generally doesn’t like to price “no
change” for the RBA. The market could easily
take expectations of rates above the current
4.25% setting if no further cuts are forthcoming.
(See the 2010 period in Figure 5.) Obviously, in
that RBA turning point scenario, paid OIS is a
great way to be.
We pay the 6M*6M OIS at 3.91%, targeting
4.30% and with a stop at 3.71%.
Figure 5: 6M*6M moves faster than spot rates
Source: Bloomberg, CBA


2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
2007 2008 2009 2010 2011 2012
Cash Rate
6M OIS
1y OIS
6M*6M OIS
Pay 6M*6M OIS
Global Markets Research
Fixed Income: Weekly Strateg
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Mission (near) Impossible: Aus-US 2Y spreads to widen but 10Y tighten
(First published 23 February)

Philip Brown – Fixed Income Quantitative Strategist – 61 3 9675 7522 – philip.brown@cba.com.au


Our results suggest the WATC curve is overly flat between 2013 and 2015.

We recommend the WATC steepener, but at a reduced exposure because we also have a similar ACGB trade
already implemented.

Most semis showed a similar dearness, and there were no significant results in the ACGB or swap scans.



Our recently published bond forecasts (15
February) include a forecast for the Aust-US
10Y spread to tighten from its current level over
the next few quarters. At the same time, we
forecast that the Aust-US 2Y spread will widen.
For the data we have (1993 onwards) such an
outcome is nearly unprecedented.
Nonetheless, we are fairly confident in our
forecasts. We would probably go one step
further: if there is a general recovery in the US,
the Aust-US 10Y and 2Y are very likely to move
in opposite directions. The nub of the argument
is that although contradictory moves in the 2Y
and 10Y spread are highly unusual, a zero
target rate and QE aren’t particularly common
either. The upshot is that US front-end rates
are essentially fixed at zero, and that hasn’t
happened before.
This article steps through the normal
relationships between Australian and US rates
and explains the mathematical properties of the
relationship. Then we explain the rationale
behind our US recovery scenario, with its
implicit bear steepening. Although unusual, this
seems to be the most likely outcome. The
Aust-US 10Y spread should tighten and we
reiterate our recommendation for a 10Y spread
tightening trade.
Normal curve behaviour (or what not to
expect in the US)
Mostly, the slope of an interest rate curve tends
to be negatively correlated with the level of
rates. That’s a fancy way of saying that the
curve tends to steepen as it rallies and flattens
as it sells off.
Before we can assert that the general rule is not
true this time, it’s worth thinking about why the
general rule is true so often. The key here is
expected forward rates. Consider the case of a
market that expects weaker growth. Normally
the slow-down is expected to be a one or two
year event. The front end of the forward rates
curve falls accordingly. Short-rates (like the 2Y
and 3Y spot rate) are heavily influenced by
those forward rates and so fall quickly.



Figure 1: Our new bond forecasts, including
Aust to US spreads
Now
Jun-
12
Dec-
12
Jun-
13
Official Cash (%) 4.25 4.00 4.00 4.00
90-day BBSW (%) 4.40 4.15 4.10 4.10
Aus 2yr bond (%) 3.65 3.75 3.90 4.00
Aus 3yr bond (%) 3.65 3.80 4.00 4.10
Aus 5yr bond (%) 3.73 3.90 4.10 4.20
Aus 10yr bond (%) 4.14 4.25 4.40 4.50
Aus 3-10yr Curve
(bp)
42 45 40 40
US 2yr bond (%) 0.30 0.30 0.35 0.60
US 10yr bond (%) 2.06 2.40 2.70 2.90
AUS-US 2yr spread
(bp)
335 345 355 340
AUS-US 10yr
spread (bp)
200 185 170 160
Source: CBA



Global Markets Research
Fixed Income: Weekly Strateg
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Longer-term rates include the newly lowered short-term forward-rate expectations, but also
average this effect out across the entire expected forward rates curve. Normally, if the short-term
expectation is a slow-down, the longer-end of the forward rates curve implies a recovery. The
slow-down causes longer-term rates to fall too, but not by as far as the short-term rates. In total,
this produces a bull steepening effect. The reverse is true on the upside, except this time.
Historically, the 2Y and 10Y Aust-US spreads have moved together
For the last 20 years, the Aust-US 2Y and 10Y spreads have tended to move in the same direction
most of the time. (See Figure 2.) Our forecasts are also shown in the figure. The forecasts imply a
rising 2Y spread and a contracting 10Y spread this year. Figure 2 also shows that there are no
major examples of the two spreads moving in opposite directions for a sustained period.
Figure 2: Australian and US 2Y and 10Y spreads, including CBA’s forecasts
Source: Bloomberg, CBA
The closest history comes to providing a precedent for our expectation is the period around 2003-
2004. At that time, the 2Y spread moved noticeably higher, while the 10Y spread was trending
sideways. It’s worth examining that period more closely, because it resembles our expectation for
the next few quarters.
Figure 3: Australian and US rates
Source: Bloomberg, CBA
The 2003 period was the recovery period after the 2001-2 “tech-wreck” recession. The Fed was
slowly moving rates up from 1.00% but said it would do so at a ‘measured pace’. The reason the
Aus-US 2Y spread could widen over that period was because the US short-rates were, more-or-
less, stable. The sell-off in the Australian front-end in 2003 widened the spreads, while the 10Y
spread was approximately stable.
-200
-100
0
100
200
300
400
500
600
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013
Spread 2Y
Spread 10Y
*forecasts
Nearly a precedent...
0
2
4
6
8
10
12
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
Aust 2Y
Aust 10Y
US 2Y
US 10Y
Historically, no
examples of the 2Y
and 10Y spreads
moving in opposite
directions
The 2003-04 period
is close though
Global Markets Research
Fixed Income: Weekly Strateg
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Contrast that with the current position in the US. The Fed has committed to keeping cash rates
low until at least 2014 (though there is some wriggle room in the commitment). The effect of the
commitment is obvious, though. The US 2Y is practically immoveable from the current level of
0.25%-0.30%. In general, the US continues to lead the direction for Australian rates. However,
the new reality of exceptionally low rates in the US makes the mathematics of the relationship very
different, even if the qualitative nature of the relationship is unchanged.
Correlation data shows the relationship – but you need to be careful
The correlation between US rates and Australian rates remains very high. In fact, the daily
correlation between Australian and US rates has been exceptionally high for most of the past 20
years. The only exception was the height of the financial crisis.
Figure 4: Daily correlation (252 days, in levels) between Australian and US rates
Source: Bloomberg, CBA
But the daily correlation says only that the Australian and US rates tend to move in the same
direction. It says nothing about the relative size of the moves. To analyse the relative size of
moves we need to look at the beta, not the correlation.
Figure 5: Daily beta (252 days, in levels) between Australian and US rates
Source: Bloomberg, CBA
The daily correlation data clearly shows something is up. Although the last few months seem fairly
standard in Figure 4, they are highly atypical in figure 5. The beta between Australian and US rates
is much higher than normal at the moment, particularly for 2Y rates. The exceptionally high beta
reflects the exceptionally low yield in the US currently.
The beta of around 3.3 suggests that the expected move in Australian rates is a little more than
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
2
Y
5Y
10
Y
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
2Y
5
Y
10
Y
Correlation between
Australian and US
rates remains very
hi
g
h
But the beta shows
the relationship has
changed
Global Markets Research
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three times the size of the US move, measured in absolute basis points. For example, a “good”
news story that moves the US 2Y from 0.30 to 0.33% should currently be expected, all else equal,
to move the Australian 2Y rate by 10bp. Given Australian rates are around 3.60% at the 2Y point,
that relativity seems to make intuitive sense. The US 2Y rate simply cannot move by 10bp too
often because it is too close to zero to do so. Our results show that, currently, a small US sell-off
would actually trigger a larger (in absolute value) sell-off in the Australian 2Y. A larger sell-off in
Australia than the US implies that the Aust-US 2Y spread would actually widen in response to a US
sell-off. In contrast, the 10Y beta is below 1 – indicating the Aust-US 10Y spread would tighten in
a US sell-off.
The standard response to the problem of zero in interest rates is to use the log-returns, rather than
differences. Using the log of the ratios of sequential rates instead of the differences allows us to
model the proportionate changes in the rate. Using logs, a move from 0.20% to 0.22% is treated
as equal to a move from 3.00% to 3.30% - they are both a 10% increase.
You might ask why we didn’t use log-returns straight away? The answer is that even though the
US 2Y rate is easily handled in log returns, the Aust-US spread is, emphatically, always expressed
in differences. We doubt that quotation convention will ever change. We are, as a market, stuck
using a difference measure to describe a situation better modelled as a log return. Given that we
can’t change market convention, we need to understand how that market quotation will react in
situations where modelling with differences is not really the right conceptual framework to be
using. For example, now. The difference between the Australian 2Y and the US 2Y shouldn’t be
modelled as a difference and starts behaving very oddly when you do. When we use log returns,
the oddness disappears (see Figure 6).
Figure 6: Weekly beta (20 weeks, in logs) between Australian and US rates
Source: Bloomberg, CBA

The weekly beta in logs shows that there has
been a comparatively stable relationship
between Australian and US rates over the past
three years. It also provides us with a more
legitimate model to make forecasts from.
Predicting Australian rates from the US
Hopefully the discussion so far has highlighted
that measuring the relationship between
Australian and US rates as a spread only can
create some distortions and unusual behaviour.
However, since we have a set of US forecasts
and a set of relationships between the US and
Australian rates, we can actually infer what the
Australian rates reaction to our US forecasts
“should” be. (See Figure 7.)
The results confirm that although it is highly
Figure 7: Implying Australian bond forecasts
Source: Bloomberg, CBA
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
2Y
5Y
10Y
50
150
250
350
450
2012 2013 2014
2Y (levels)
10Y (levels)
2Y (lo
g
s)
10Y (lo
g
s)
2Y (CBA)
10Y (CBA)
Using betas in logs
rather than in levels
Predicting the
Australian move
given our US
forecasts
Global Markets Research
Fixed Income: Weekly Strateg
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unusual for the 2Y spread to widen while the
10Y is tightening, it would actually be the
expected outcome should our US forecasts
come to fruition.
So far we have shown that the US bear-
steepening we envisage leads to a bear
flattening in Australia. The combination of the
two moves suggests the Australian -US 2Y
spread should widen as the 10Y flattens.
So why predict US bear steepening?
We have predicted a US bear steepening
because it seems the most likely outcome of
the Fed’s insistence on keeping front end rates
fixed against the backdrop of a US recovery.
(See Debt Update of 15 February.) These Fed
actions are highly unusual and make it possible
for our unusual combination of widening and
tightening to occur. We explained earlier that
the relationship between the level and slope
was driven by the behaviour of short-term
forward rates. In the US, the short-term
forward rates are practically fixed. Any
recovery is only being felt in long-term forward
rates.
Despite ‘Operation Twist’ attempting to hold
down the long-end of the curve, we think
evidence of sustained recovery in the US will
initially cause a bear steepening. The Fed
elected to use ‘Operation Twist’ in part because
the 2Y rate was so effectively anchored. The
10Y rate is the one reacting to the overall
economic situation.
The movement in the 10Y rate has also
effectively been the only driver of the US 2Y-
10Y slope for a while now. The US curve bull
flattened over 2011 because the US2Y rate
couldn’t really fall any lower than the near-zero
level it had already achieved.
As the recovery continues, the Fed may elect to
voluntarily end operation twist, or the market
could become more concerned about the
medium term outlook for US inflation or both.
Either way, the result of a US recovery is likely
to be a steepening of the curve.
The US recovery appears to be gaining pace,
too. The unemployment rate seems to be
poised to fall significantly. (Figure 9.)
At the same time, the US 10Y rate remains very
low compared to many other measures of
expected growth. Perhaps most notably, there
is a growing disconnect between the return on
equity and the return on debt (Figure 10).
The Fed’s credibility - and its buying program -
are holding the 10Y rate low for the moment.
But if the recovery takes hold there is a
significant risk the market starts to question the
Figure 8: US bull flattened in 2011
Source: Bloomberg, CBA
Figure 9: US employment measures
Source: Bloomberg, CBA
Figure 10: Disconnect between equity and
debt
Source: Bloomberg, CBA
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
2009 2010 2011
US 2
Y
US 10Y
2
3
4
5
6
7
8
9
10
11
12
200
300
400
500
600
700
1990 1994 1998 2002 2006 2010
IJC 4W MA
U/E Rate (rhs)
'000
%
400
600
800
1,000
1,200
1,400
1,600
1,800
1
2
3
4
5
6
7
98 00 02 04 06 08 10 12
S&P 500
(rhs)
US
10yrs
%
Index
Highly unusual Fed
actions have
changed the
landscape
US 10Y free to move
– and quite low
compared to stock
prices
Global Markets Research
Fixed Income: Weekly Strateg
y

11
long-run inflation outlook in the US.
US inflation has remained fairly high over the
last few years despite weak growth. The Fed
has acknowledged that inflation is a little high,
but has emphasised that the main challenge for
monetary policy currently is to lower the
unemployment rate. The Fed’s various buying
programs have driven the 10Y US treasury rate
below the US 10Y inflation expectation, as
measured by the ZCS (Figure 11.).
With the Fed signalling it will keep the Fed
Funds rate stable until late 2014, there is a
good chance that it will reverse policy in
approximately the reverse order of how easing
was implemented. The first step would be to
end Operation Twist (which is scheduled to end
in June 2012 anyway). The second step would
likely be stop reinvesting coupons. The third
step would likely be to change the forward
guidance of the statement. The fourth step is to
raise the cash rate a little. Once the cash rate
has been raised a few times, the Fed could
contemplate selling down their Treasury
holdings.
We believe the first few steps of this process
are more likely to engender steepening than
flattening. The end of operation twist is
arguably a steepening factor in its own right,
even before the market reaction is considered.
The Fed is currently a substantial buyer of 10Y
Treasuries and seller of 2Y treasuries. If that
flow is taken out of the market, the curve should
steepen.
Any change to the actual US cash rate is
probably a long way in the future – indicating
that short-end treasuries are likely to remain
very low in yield for most of our proposed
“unwind” process. A sell-off where the 2Y is
fixed is a sell-off with a steepening.
A final note on Australia
The final reason we expect the Aust-US 2Y
spread to widen is a domestic Australian
argument. The Australian curve continues to
price two easings from the RBA. (See Figure
12.) However, our economists expect only one
more cut and, if the US recovery continues,
even that is not a given. The RBA has set the
hurdle for further cuts quite high.
Against that background the Australian 2Y rate
is likely to sell-off. The US 2Y rate, of course, is
still fixed. That tends to imply the front end
spread will widen – even if the main driver of the
Australian sell-off is an improving US outlook.
Trading Strategy
We have already implemented an Aus-US 10Y
Figure 11: 10Y UST rates remain below
inflation expectations
Source: Bloomberg, CBA
Figure 12: RBA rate expectations
Source: Bloomberg, CBA


1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
2004 2006 2008 2010 2012
10Y UST
10Y ZCS
QE1a
QE1b
QE2
Cpn Reinv
Op Twist
%
3.00
3.25
3.50
3.75
4.00
4.25
4.50
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
%
CBA Forecasts
23-Feb-12
Fed unwind likely to
release the 10Y
before the 2Y
Australia continues
to price multiple
easings
Global Markets Research
Fixed Income: Weekly Strateg
y

12
spread contraction trade. We are comfortable
with this trade (so far it has tightened from
217bp to 213bp).
We are wary of implementing the spread view in
any other way. The US 2Y is, essentially, fixed
for the time being so any 2Y spread trade is
essentially a view on the Australian short end.
We are tempted to consider an outright short in
the Australian front end, but that’s still
dangerous given the European back-drop. We
have already implemented an option strategy,
buying an out of the money put on the Oct-14.
If there is a moderate sell-off in the Australian
2Y in the next few months, we will profit from
our option.
Conclusions
The Aust-US spread is probably always going
to be quoted as a spread in levels. When the
US rate is so low (and the Fed is actively
holding it there), a US recovery will likely cause
US bear-steepening. The Australian front-end
rate, on the other hand, is free to sell-off as the
situation improves.
Although unusual in a historical context, we
think the 2Y spread will widen even as the 10Y
tightens if the US recovery continues.




Global Markets Research
Fixed Income: Weekly Strateg
y

13

A
ussie versus Kiwi front end swap spreads to widen
(First published 24 February)

A
lex Stanley – Associate Analyst, Fixed Income – 61 2 9118 1125 – alex.stanley@cba.com.au


The NZD market is pricing rate hikes while the AUD market is pricing rate cuts.

RBA and RBNZ policy divergence is uncommon and the current pricing structure is unlikely to remain in place for
long.

AUD 1Y*1Y and 2Y*1Y rates are low relative to the cash rate and have scope to move higher before the end of the
RBA easing cycle.

The AUD-NZD 2Y*1Y spread has fallen sharply in recent weeks and has scope to widen. Positioning for wider front
end spreads provides positive carry.

We pay 2Y*1Y AUD swap against receiving 2Y*1Y NZD swap.


Australian and New Zealand front end swap
rates have risen over the last month. The NZ
market is already pricing the beginnings of an
RBNZ tightening cycle, while the Australian
market is still pricing another 50bp of RBA
easing. As Governor Stevens’ testimony this
morning hints, the risks are shifting to less RBA
easing. We move to pay front end Australian
swap rates against NZD swap rates.
(By “swap spread” we are referring to the
difference between Australian swap rates and
NZ swap rates, with spreads quoted as AUD
minus NZD.)
The Kiwi front end rates are now
implying RBNZ rate hikes
In recent weeks, front end Kiwi swap rates have
risen sharply. The move has less to do with NZ
economic fundamentals and more to do with
the sell-off in global rates prior to the Greek
debt deal and a capitulation of long positions.
The 2Y NZ swap rate has broken above the
2.80-2.90% range for the first time since the
rally last November.
The sell-off in kiwi rates now means the market
is pricing RBNZ rate hikes (Figure 2). As we
outlined in our last kiwi swap piece (Aussie Debt
Strategy, Feb-10), we think the RBNZ are a long
way from hiking rates. For this reason, we think
any further global rates sell-off will exert a
diminishing impact on NZD front end rates.
By contrast, the Aussie market continues to
price rate cuts (Figure 2). Aussie front end swap
rates have outperformed NZD rates over the
last week and spreads have tightened. But as
Figure 1 shows, the broader trend in recent
months has been for wider front end spreads.
Despite the shift in the kiwi market over the last
week, we think the broader spread widening
trend between the Aussie and Kiwi markets is
Figure 1 – Aussie versus Kiwi swap spreads
Source: CBA, Bloomberg
Figure 2 – Market pricing for the RBA and
RBNZ*
Source: CBA, Bloomberg*OIS in NZD, IB Futures in AUD

0
50
100
150
200
250
Jan-11 Apr-11 Jul-11 Oct-11 Jan-12
2Y
3Y
5Y
1Y
-75
-50
-25
0
25
50
Feb-12 May-12 Aug-12 Nov-12
AUD
NZD
Global Markets Research
Fixed Income: Weekly Strateg
y

14
set to continue.
RBA and RBNZ Policy divergence is
possible, but historically unusual
It’s unusual for the RBA to cut rates while the
RBNZ hikes (Figure 3). Monetary policy tends to
move in the same direction because of global
economic developments and some
commonality between the Australian and NZ
economies. Both economies are “small” and
“open” and both have trade linkages with Asia.
There’s also some interdependence, because of
trade between the countries. Australia is New
Zealand’s largest trading partner.
Figure 3 also shows that, in recent years, the
RBNZ cash rate has been lower and more
stable than the RBA cash rate. This is a change
from longer run norms. For much of the decade
before the 2008 global crisis, the RBA cash rate
was lower and more stable. This change partly
reflects adverse factors affecting economic
NZ’s economic performance, such as the
Christchurch earthquake last year.
More recently, the European sovereign debt
crisis and downgrades to global growth have
argued for easier policy from both the RBA and
RBNZ. Because the level of the RBA rate was
higher, the RBA used its scope to cut the cash
rate below normal. In NZ, the market had bet on
further cuts, but the RBNZ was reluctant to
follow through, because the cash rate is already
at a very low level.
Given the RBNZ rate is already so low, the
directional bias is for a rate hike as conditions
improve. We’re forecasting a December RBNZ
hike, but the current balance of risks is for a
later move. As we argued in our last NZ piece,
the RBNZ have shown no sign of moving their
bias away from on-hold. Like in Australia,
there’s little evidence that inflation will be a
threat. Moreover, the Canterbury rebuild is a
key source of upward pressure on rates, but
recent aftershocks mean that the positive
impact on economic activity from rebuilding is a
fair distance off.
Meanwhile, the RBA have made it clear they’ll
need to see more signs of domestic weakness
to get another rate cut over the line. It’s no
longer clear that the case can be fully made for
another RBA cut, let alone another two cuts, as
the market is pricing. As we outlined recently
(Aussie Debt Strategy, Feb-15), our bias is now
for higher AUD front end rates.
Front end rates move in advance of
monetary policy turning points
Consistent with the greater stability in RBNZ
than RBA rate cycles over recent years, short
end NZ swap rates have also being more stable

Figure 3 – RBA and RBNZ rates*
Source: CBA, Bloomberg
*Prior to 1999, the RBNZ used a monetary conditions
index to set policy, rather than a cash rate target
Figure 4 – AUD and NZD 2Y swap rates
Source: CBA, Bloomberg
Figure 5 – AUD-NZD swap spreads (30d MA)
0
1
2
3
4
5
6
7
8
9
99 00 01 02 03 04 05 06 07 08 09 10 11
%
RBA Cash Rate
RBNZ Cash Rate
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
1994 1997 2000 2003 2006 2009 2012
%
NZD 2Y Swap (LHS)
AUD 2Y Swap (LHS)
100d standard deviation (RHS)
AUD, NZD
-250
-200
-150
-100
-50
0
50
100
150
200
250
99 00 01 02 03 04 05 06 07 08 09 10 11
2Y
3Y
5Y
1Y
RBA and RBNZ cash
rate cycles tend to
move in the same
direction.
The RBNZ cash rate
is already very low,
but the RBA cash
rate is close to
average.
Global Markets Research
Fixed Income: Weekly Strateg
y

15
than comparable Aussie rates. As Figure 4
illustrates, since 2008/09, spikes in volatility
have become more common in Aussie front
rates than in NZ rates. While volatility tends to
be higher when all rates are falling (as late 2011
demonstrates), Aussie rates were more volatile
than kiwi rates during the 2009-2010 sell-off.
AUD-NZD front end spreads widened
substantially through this period (Figure 5).
While we’re some distance from a shift to re-
pricing RBA hikes, we do see scope for the
more volatile AUD front end rates to
underperform NZD rates again, as this RBA
easing cycle approaches its end.
If the RBA does not cut rates again or cuts only
once more, short end Aussie swap rates may
be set for a sharp sell-off. Figures 5 and 6 show
that the AUD 1Y*1Y and 2Y*1Y rates are
currently trading close to cash. However, figure
6 also shows that these rates tend to sell-off
sharply around the time of the last rate cut.
With the balance of economic risks now shifting
and the market still expecting two more RBA
rate cuts, we could see a similar sell-off in
Aussie rates in the not too distant future.
Especially since the 1-2Y Aussie swap rates
remain quite low compared with the rest of the
curve (Figure 8).
In contrast to the AUD market, the NZD 1Y*1Y
and 2Y*1Y rates are trading well above the
RBNZ cash rate (Figure 7). To validate these
levels, the RBNZ will need to follow through
with rate hikes this year and in 2013. We’re
forecasting rate hikes from December 2012
onwards, but the risks are currently tilted
toward a later start to the tightening cycle. The
NZ market has responded more to the
improvement in global market sentiment in
recent weeks than to data or RBNZ policy hints.
While the global market remains the driver of
NZD swap rates the NZD 1Y*1Y and 2Y*1Y rate
can probably rise further. But the reluctance of
the RBNZ to aggressively hike means there’s
scope for the Aussie 2-3Y rates to catch-up the
NZD swap sell-off. Particularly if the RBA
continues to show a reluctance to cut.
Positioning for wider AUD-NZD front
end swap spreads
We don’t think the divergent policy path pricing
in the Aussie and Kiwi markets will be sustained
for long. The RBA are likely to keep their easing
bias, but are unlikely to cut rates by more than
the 25-50bp currently priced and quite possibly
less than that. The AUD 1Y*1Y and 2Y*1Y rates
tend to move decisively higher in advance of
the final RBA rate cut in easing cycles. The last
cut is either coming very soon, or may already
have happened. For this reason we like paying
either the AUD 1Y*1Y or 2Y*1Y rate.
Source: CBA, Bloomberg
Figure 6 – RBA cash and front end swap rates
Source: CBA, Bloomberg
Figure 7 – RBNZ cash and front end swap rates
Source: CBA, Bloomberg
Figure 8 –NZD 1Y forward starting swaps are
lower than AUD, but steeper.
Source: CBA, Bloomberg
2.5
3.5
4.5
5.5
6.5
7.5
8.5
9.5
1999 2001 2003 2005 2007 2009 2011
RBA Cash
AUD 1Y*1Y
AUD 2Y*1Y
0
1
2
3
4
5
6
7
8
9
10
1999 2001 2003 2005 2007 2009 2011
RBNZ Cash
NZD 1Y*1Y
NZD 2Y*1Y
3.00
3.25
3.50
3.75
4.00
4.25
4.50
4.75
5.00
1
Y
2
Y
3
Y
4Y 5Y
%
AUD
NZD
AUD front end swap
rates tend to rise
decisively above
cash as the end of
the easing cycle
draws near.
NZD front end
swaps are already
above the RBNZ
cash rate.
We pay AUD 2Y*1Y
swap against
receiving NZD
2Y*1Y.
Global Markets Research
Fixed Income: Weekly Strateg
y

16
In NZ, the recent shift to rate hike pricing
reflects mostly global market developments.
Economic data and the RBNZ haven’t yet
shown a need for tighter policy. Front end rates
may drift higher if global sentiment remains
buoyant. However, the lack of RBNZ follow
through and different position of the NZ cash
rate compared to expectations means that NZ
short end rates have less scope to move higher
than Aussie rates.
Combining our core Aussie and Kiwi rate views
suggests a paid 1Y*1Y or 2Y*1Y AUD-NZD
swap spread position. We prefer to pay the
2Y*1Y spread for two reasons. First, the 2Y*1Y
spread has fallen further than the 1Y*1Y
following an underperformance of the NZ
market over the last week (Figure 9). Second,
paying the 2Y*1Y spread offers similar carry to
shorter term spread positions, such as the
1Y*1Y spread. As Figure 10 shows, most of the
carry comes from the long NZ rate position,
because of the steeper NZ curve. A 2Y*1Y
spread widening trade earns approximately
3.5bp per month.
We pay AUD 2Y*1Y swap and receive NZD
2Y*1Y swap at a spread of 59bp. We target
85bp, with a stop at 45bp.


Figure 9 – AUD-NZD 1Y*1Y and 2Y*1Y spreads
Source: CBA, Bloomberg
Figure 10 – AUD-NZD swap spread carry (bp
per month)
Source: CBA, Reuters


-200
-150
-100
-50
0
50
100
150
200
Jan-08 Jan-09 Jan-10 Jan-11 Jan-12
bp
1Y*1Y Spread
2Y*1Y Spread
Length AUD NZD Spread
1Y -2.0 2.4 4.4
2Y -0.3 3.4 3.7
3Y 0.3 3.5 3.2
4Y 1.6 3.9 2.3
5Y 1.0 4.0 3.0
6Y 1.1 3.7 2.7
7Y 1.2 3.8 2.6
8Y 0.9 3.0 2.1
9Y 0.9 2.9 2.0
10Y 0.9 2.9 2.0
Global Markets Research
Fixed Income: Weekly Strateg
y

17

Key Views

United States


Tactical
(<1 mth)

Strategic
(>3 mths)
Recent US economic data argues for higher yields. The recovery in the labour market
continues, with the unemployment rate falling from 9.0% last September to 8.3% in January.
US inflation remains stronger than Fed forecasts. The core CPI results are still trending higher,
making it hard for the 10yr BEI to hold much below 2%.
Treasuries remain well bid due to the ongoing crisis in Europe, the Fed’s already-implemented
‘Operation Twist’ and the promises of further easing if required. The FOMC has indicated it
won’t tighten until the end of 2014. We have increased our US rates forecasts substantially
because the ongoing recovery in US growth could combine with a market-perception that the
Fed is being too stimulatory and cause a large sell-off. The global risk appetite is also
generally increasing (though risks remain) so this shouldn’t constrain a sell-off in Treasuries.
We believe EUR/USD can keep rising in the near-term, supported by improved sentiment
about sovereigns, and a closing of short EUR positions. We expect USD/JPY to keep rising,
as the JPY adjusts to a host of structural and cyclical factors. USD/JPY has lifted over 7%
during February, and we expect this trend to continue in the near-term. Beyond these near-
term developments, we continue to anticipate the USD to remain firm until mid-2012 for the
following three reasons: (1) The US economy is out-performing most of the G7, most notably
the Eurozone, UK and Japan; (2) USD support will be maintained with underlying concerns
about Eurozone economic developments; and (3) USD funding demand remains firm.


Policy rate 0.1% 0.1%
10yr bond 2.10% 2.20%
2/10 curve 180bp 190bp
USD/JPY 83.00 80.00
EUR/USD 1.3730 1.3000
A
ustralia


Tactical
(<1 mth)

Strategic
(>3 mths)
The RBA cut rates in November and December, citing a lower inflation outlook. But it didn’t
cut again in February (contrary to market expectations), apparently due to greater confidence
in Europe and the global economy. Recent weakness in the labour market (broader view),
inflation, house prices and activity data could leave the door open for one more easing, at
most. Our economists forecast a 25bp cut in May and see risk of an earlier move. But the
odds of multiple cuts have clearly receded and it would now take a significant turn for the
worse in Europe to see the market price in more than 1-2 cuts.
The potential for a further rate cut and capital flight from Europe will generally keep quality
bond markets well bid. However, bonds have lagged the general pick-up in risk appetite in
2012 and seem overdue for a corrective sell-off if negative news doesn’t flow soon. Bonds do
look expensive versus the cash-rate outlook and alternative AUD high-grade bonds.
We expect AUD to remain heavily influenced by offshore developments, particularly in Europe,
over coming weeks. We have lifted our near-term AUD forecasts for three main reasons: (1)
The global growth outlook has stabilised and is starting to improve; (2) Commodity prices are
likely to remain supported by ongoing relatively solid growth in China and elsewhere in Asia;
and (3) The RBA has indicated there is a high bar to further rate cuts.
Policy rate 4.00% 4.00%
10yr bond 4.10% 4.30%
3/10 curve 45bp 45bp
10yr EFP 65bp 60bp
10yr v US 200bp 185bp
AUD/USD 1.0900 1.0800

New Zealand


Tactical
(<1 mth)

Strategic
(>3 mths)
The NZ economy is slowly recovering, but, like Australia, is suffering from global uncertainty.
Recently, the Q3 GDP figures showed the Rugby World Cup boost was smaller than hoped,
but signs of underlying momentum in the economy were reinforced by the retail sales data.
The RBNZ has indicated global developments remain the dominant factor for interest rates.
The first half of 2012 looks too soon for the RBNZ to be fully convinced the risks to the global
economy have sufficiently eased, even assuming Europe contains the crisis. Domestically,
there is also uncertainty regarding the pace of the Christchurch rebuild. The latest inflation
data affirms our view that the RBNZ will be in no hurry to lift the cash rate from 2.5%. We
expect a gradual tightening cycle, and expect the OCR eventually peak at 4.00% in late 2013.
The NZD has pressed higher in early 2012, driven by improved risk appetite and easing
market volatility. We expect the NZD will push higher if volatility remains low. Stabilisation in
the global growth outlook should support New Zealand-specific commodity prices. As the
pace of New Zealand’s economic growth picks up further, we expect the market to reinstate
pricing for increases in the RBNZ cash rate from late 2012. This should support NZD.
Policy rate 2.50% 2.50%
10yr bond 4.00% 4.10%
2/10 swap
curve
145bp 160bp
10yr v US 200bp 190bp
10yr v AU 10bp 30bp
NZD/USD 0.8500 0.8500
AUD/NZD 1.2750 1.2700
\\\

Global Markets Research
Fixed Income: Weekly Strateg
y

18



Cash Rate Pricing






Source: All data sourced from Bloomberg. Rates displayed are calculated using IB Futures (Australia), FF Futures (US) and OIS in all other
currencies.










Australian Cash Rate Pricing New Zealand OCR Pricing US Fed Funds Pricing
Cum. % chance Cum. % chance Cum. % chance
Rate of +25bp Rate of +25bp Rate of +25bp
Current 4.25 0 Current 2.50 0 Current 0.11 0
6-Mar-12 4.21 -17 8-Mar-12 2.49 -4 13-Mar-12 0.12 3
3-Apr-12 4.14 -43 26-Apr-12 2.49 -5 25-Apr-12 0.12 4
1-May-12 4.04 -83 14-Jun-12 2.50 -1 20-Jun-12 0.13 9
5-Jun-12 3.96 -115 1-Aug-12 2.54 17 31-Jul-12 0.14 12
3-Jul-12 3.90 -140 7-Nov-12 2.65 60 12-Sep-12 0.15 15
7-Aug-12 3.87 -153 31-Jan-13 2.78 113 24-Oct-12 0.16 20
4-Sep-12 3.81 -175 9-Mar-13 2.78 113 11-Dec-12 0.17 23
2-Oct-12 3.80 -178 30-Jan-13 0.19 30
6-Nov-12 3.82 -173 13-Mar-13 0.19 33
Candian Rate Pricing EUR EONIA Pricing UK SONIA Pricing
Cum. % chance Cum. % chance Cum. % chance
Rate of +25bp Rate of +25bp Rate of +25bp
Current 1.00 0 1W repo 0.19 Current 0.49 0
17-Jan-12 1.00 20 8-Mar-12 0.35 63 8-Mar-12 0.49 0
8-Mar-12 1.00 20 4-Apr-12 0.35 65 5-Apr-12 0.49 0
17-Apr-12 0.98 10 3-May-12 0.35 62 10-May-12 0.49 0
5-Jun-12 0.97 8 6-Jun-12 0.33 56 7-Jun-12 0.49 -1
17-Jul-12 1.00 22 5-Jul-12 0.32 50 5-Jul-12 0.49 -1
5-Sep-12 0.89 -22 2-Aug-12 0.32 51 2-Aug-12 0.48 -3
6-Sep-12 0.31 47 6-Sep-12 0.48 -3
7-Feb-13 0.37 72 4-Oct-12 0.48 -2
7-Mar-13 0.37 72 8-Nov-12 0.48 -3
3.40
3.60
3.80
4.00
4.20
4.40
Feb Apr Jun Aug Oc
t
Dec Feb
AUD Implied Cash Rate
2.00
2.20
2.40
2.60
2.80
3.00
Feb Apr Jun Aug Oc
t
Dec Feb
NZD Implied Cash Rate
0.00
0.05
0.10
0.15
0.20
0.25
Feb Apr Jun Aug Oct Dec Feb
USD Implied Cash Rate
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
Feb Apr Jun Aug Oct Dec Feb
CAD Implied Cash Rate
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
Feb Apr Jun Aug Oc
t
Dec Feb
GBP Implied Cash Rate
0.00
0.10
0.20
0.30
0.40
Feb Apr Jun Aug Oc
t
Dec Feb
EUR Implied Cash Rate
Global Markets Research Fixed Income: Weekly Strategy
19
CBA Forecasts:





Cash rate27-FebMar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13
US0.250.250.250.250.250.250.250.250.25
Australia 4.254.254.004.004.004.004.004.004.00
New Zealand2.502.502.502.502.753.253.503.754.00
United Kingdom0.500.500.500.500.500.501.001.251.50
Germany1.001.001.001.001.001.001.001.251.25
Japan 0.100.100.100.100.100.100.100.100.10
Canada1.001.001.001.001.001.251.251.501.75
2-yr bond yield27-FebMar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13
US0.300.300.300.350.350.400.600.801.00
Australia 3.713.603.753.903.904.004.004.004.00
New Zealand 2.582.602.802.902.903.003.203.503.70
United Kingdom0.380.400.500.500.500.600.801.001.30
Germany0.240.300.300.400.400.500.700.901.20
Japan 0.110.150.200.200.200.200.250.250.30
Canada1.071.101.201.201.301.301.401.601.80
10-yr bond yield27-FebMar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13
US1.982.102.402.702.702.802.903.003.20
Australia 4.094.104.254.404.404.504.504.504.50
New Zealand 4.144.104.304.504.504.604.704.704.70
United Kingdom2.072.102.202.302.302.402.502.602.60
Germany1.882.002.102.202.202.202.302.402.50
Japan 0.981.001.101.101.101.101.101.201.20
Canada2.022.102.402.702.802.903.003.003.00
Currencies27-FebMar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13Mar-14
AUD/USD1.071.071.081.081.091.101.081.081.081.05
AUD/JPY87.1883.4683.1683.1683.9384.7084.2484.2484.2484.00
AUD/EUR0.790.810.850.820.810.800.800.800.810.79
AUD/GBP0.670.680.690.680.670.670.670.680.680.66
AUD/CAD1.071.061.071.061.061.061.041.051.061.04
AUD/NZD1.281.271.271.261.241.221.231.231.231.24
USD/JPY81.4478.0077.0077.0077.0077.0078.0078.0078.0080.00
EUR/USD1.351.321.271.321.351.371.351.351.331.33
GBP/USD1.591.571.561.591.621.641.621.601.601.60
USD/CAD1.000.990.990.980.970.960.960.970.980.99
NZD/USD0.840.840.850.860.880.900.880.880.880.85
Global Markets Research Fixed Income: Weekly Strategy
20
Calendar – February 2012

Note: Figures in brackets represent previous result (if available). All information is preliminary and subject to revision. Chief Economist: Michael Blythe ph: 9118-1101 Economist: James McIntyre: 9118-1100
MondayTuesdayWednesdayThursdayFriday
30 January31 January
123
NZ PSI, Dec, Index, (56.6)
AU Private sector credit, Dec
A
U AI-Group PMI, Jan, Index, (50.2)
A
U Build approv, Dec, m%ch, 10.0, (8.4)
A
U CBA/Ai-Group Perf of Serv Index, Jan, (49)
GE Retail sales, Dec
AU NAB Bus conf/cond Dec, Index, (2/1)
A
U HIA new home sales Dec, m%ch, (6.8)
A
U Trade balance Dec, $bn, 1.2, (1.4)
CH Non-Manuf PMI Jan, Index, (56)
GE CPI, JanNZ Building permits, Dec
A
U ABS House price indexes, QIV, q%ch, (-1.2)
EU PPI, Dec, m/y%ch, (0.2/5.3)EU/GE/UK PMI services, Jan, Index, (50.5/54.5/54)
US Personal income/spending, DecJP Vehicle/Industrial production/Construction Orders/Housing Starts, DecCH PMI Manufacturing, Jan, Index, (50.3)UK PMI construction, Jan, Index, (53.2)US Non-farm payrolls, Jan, '000, (200)
US PCE deflator/core, Dec, y%ch, (2.7/1.7)US Employment cost index, QIV, q%ch, (0.3)JP Vehicle sales, Jan, (23.5)US Unemployment rate, Jan, %, (8.5)
US Dallas Fed, Jan, Inde
x
US S&P/Case-Shiller home price ind., NovEU/GE/UK PMI manufacturing, Jan, Index, (48.7/50.9/49.6)US Avg hrly earnings, Jan, m/y%ch, (0.2/2.1)
US Construction spending, Dec, m%ch, (1.2)US ISM non-manufacturing, Jan, Index, (52.6)
US ISM manufacturing, Jan, Index, (53.9)US Factory orders, Dec, m%ch, (1.8)
US Total vehicle sales, Jan, mn, (13.5)CA Net change in employment, Jan, '000, (17.5)
CA Unemployment rate, Jan, %, (7.5)
678910
AU TD inflat gauge Jan, m/y%ch, (0.5/2.4)AU RBA cash rate, %, 4.00, (4.25)
A
U MI/WBC Consumer Sent, Feb, Index, (97.1)
NZ Emp Growth/Unemp Rate, QIV, (0.2)
A
U RBA Statement on Monetary Policy
AU ANZ Job ads, Jan, m%ch, (-0.9)AU Ai-Group PCI, Jan, Index, (41)
JP Curr a/c total/adjusted, Dec, ¥bn, (138.5/480.4)CH PPI/CPI, Jan, y%ch, (1.7/4.1)NZ Credit card spending, Jan, m%ch, (-0.2)
AU Retail trade, Dec, m%ch, 0.3, (0.0)
NZ Labour Cost - Priv Sect, QIV, q%ch, (0.5)GE Trade bal, Dec, €bn, (16.2)JP Machine orders, Dec, m/y%ch, (0.148/0.125)CH Trade balance Jan, US$bn, (16.5)
A
U Retail sales ex inflation, QIV, q%ch, (0.6)NZ Avg Hourly Earnings, QIV, q%ch, (1.3)CA Housing starts, Jan, '000, (200.2)EU ECB announces int. rate, %, 0.75, (1.00)GE CPI, Jan
GE Factory orders, Dec, m/y%ch, (-4.8/-4.3)JP Leading/Coincident index CI, Dec, (93.2/90.3)UK BoE announces rates, %, 0.50, (0.50)UK PPI Input/Output/core, Jan, y%ch, (8.7/4.8/3.0)
GE Industrial production, Dec, m/y%ch, (-0.6/3.6)UK Industrial production, Dec, m/y%ch, (-0.7/-3.1)US Trade balance, Dec, $bn, (-47.8)
US Consumer credit, Dec, $bn, (20.4)US Wholesale inventories, Dec, m%ch, (0.1)US Uni. Of Michigan confidence, Feb, Index, (75)
CA Building permits, Dec, m%ch, (-3.6)CA Housing price index, Dec, y%ch, (2.5)CA Trade balance Dec, C$, 1.5, (1.07)
1314151617
AU Housing Finance, Dec, m%chAU NAB Bus conf/cond, Jan, Index
A
U Motor veh. sales, Jan, m/y%ch, (-2.9/-3.0)
A
U Labour Force, Jan
EU Current account, Dec, €bn, (-1.8)
No. of own-occupiers, %, 2.0, (1.4)AU RBA Assist. Gov Debelle speaks in Sydney
NZ Retail sales ex inflation, QIV, q%ch, (2.2)
employment, '000, 15, (-29.3K)
EU Construction output, Dec, m/y%ch, (0.8/0.2)
Value of all loans, %, 1.0, (2.2)
NZ Food prices, Jan, m%ch, (0.2)EU GDP, QIV
unemployment rate, %, 5.3, (5.2)
GE Producer prices, Jan, m/y%ch, (-0.4/4.0)
JP GDP, QIV, q%ch, (1.4)JP BoJ target rate, %, 0-0.10, (0.10)GE GDP, QIV, q/y%ch, (0.5/2.6)
participation rate, %, 65.3, (65.2)
UK Retail sales, Jan, m/y%ch, (0.6/2.6)
JP Industrial production, DecUK ILO unemployment rate (3mths), Dec, %, (8.4)
A
U MI Unemp. Expt., Feb, Index (135.2)
US CPI, Jan, m/y%ch, (0.0/3.0), core, m/y%ch (0.1/2.2)
EU Industrial production Dec, m/y%ch, (-0.1/-0.3)UK Bank of England Inflation Report
A
U MI Consumer Inflation Expectat, Feb, %, (2.8)
US/CA Leading indicators, Jan, m%ch, (0.4/0.8)
EU/GE ZEW survey (econ. sentiment), Feb, (-32.5/-21.6)US Industrial production, Jan, m%ch, (0.4)
A
U NAB Bus conf, QIV, Index, (-4)
CA CPI, Jan, m/y%ch, (-0.6/2.3)
UK CPI, Jan, m/y%ch, (0.4/4.2), core y%ch, (3.0)US Capacity utilisation, Jan, %, (78.1)
A
U RBA Assist. Gov Lowe speaks in Sydney
UK RICS house price balance, Jan, %, (-16)US NAHB housing market index, Feb, (25)NZ Business PMI, Jan, Index, (51.9)
US Import price index, Jan, m/y%ch, (-0.1/8.5)US FOMC Minutes EU ECB Monthly report
US Retail sales, Jan, m%ch, (0.1)US Producer price index Jan, m/y%ch, (-0.1/4.8)
US Business inventories, Dec, m%ch, (0.3)US Housing starts/Building Permits, Jan, '000, (657/679)
2021222324
NZ PSI, Jan, Inde
x
AU RBA Board Minutes, Feb
A
U DEWR skilled vacancies, Jan, m%ch, (-1.1)
A
U AWE Nov, q/y%ch, 0.8/4.5, (1.2/5.3)
A
U RBA Gov. Stevens presents to House of Reps Committee
NZ Producer prices, inputs/outputs, QIV, q%ch, (0.6/0.2)
AU RBA Gov. Stevens panel discussant in Sydney
A
U WPI QIV, q/y%ch, 1.0/3.6, (0.7/3.6)
A
U RBA Fin. Stab. Head Ellis speaks in Sydney
GE GDP, QIV
JP Trade bal total/adj, Jan, ¥bn, (-205.1/-567.6)CA Retail sales, Dec, m%ch, (0.3)NZ Credit card spending, Jan, m/y%ch, (0.9/5.9)GE IFO - Business climate, Feb, Index, (108.3)UK GDP, QIV, q/y%ch, (-0.2/0.8)
JP Leading / Coincident index CI, DecCA Wholesale sales, Dec, m%ch, (-0.4)EU Industrial new orders, Dec, m/y%ch, (-1.3/-2.7)UK Total bus investment, QIV, q/y%ch, (0.3/4.3)
UK Bank of England minutes US Uni. Of Michigan confidence, Feb, Inde
x
US Existing home sales, Jan, m%ch, (5.0)US New home sales, Jan, m%ch, (-2.2)
272829
Early MarchCentral Bank Meetings
AU HIA Housing Affordability Index, QIV, Index, (57.2)
JP Retail sales, Jan, m/y%ch, (0.3/2.5)
A
U Prelim. construction work done, QIV, q%ch, (12.5)
A
U Capex, QIV (1 Mar)
A
U RBA (7 Feb)
NZ Trade balance, Jan, $mn, (338)GE CPI, Feb
A
U Private sector credit, Jan,
A
U Building approvals, Jan (1 Mar)EZ ECB (9 Feb)
US Pending home sales, Jan, m/y%ch, (-3.5/4.4)US Durable goodes orders, Jan, m%ch, (3.0)
A
U Retail trade, Jan, m%ch
A
U Company Profits, QIV (5 Mar)UK BOE (9 Feb)
US Dallas Fed, Feb, Inde
x
US S&P/Case-Shiller home price ind, Dec
A
U RP Data house prices, Jan,
A
U Balance of Payments, QIV (6 Mar)JP BoJ (14 Feb)
US Richmond Fed, Feb, Index, (12)
A
U HIA new home sales Jan
A
U Govt Finance Stats, QIV (6 Mar)NZ RBNZ (8 Mar)
A
U HIA Housing Affordability Index, QIV
A
U GDP, QIV (7 Mar)CA Bank of Canada (9 Mar)
NZ NBNZ Business confidence, Feb
A
U Labour Force, Feb (8 Mar)US FOMC (13 Mar)
JP Industrial/Vehicle production/Construction Orders/Housing Starts, Jan
A
u Trade Balance, Jan (9 Mar)
EU CPI, Jan, m%ch, (0.3), core y%ch (1.6)
US GDP, QIV, q%chsaar, (2.8)
US Federal Reserve Beige Book
CA Teranet House Prices, Dec, y%ch, (7.1)
Global Markets Research Fixed Income: Weekly Strategy
21
Calendar – March 2012

Note: Figures in brackets represent previous result (if available). All information is preliminary and subject to revision. Chief Economist: Michael Blythe ph: 9118-1101 Economist: James McIntyre: 9118-1100
MondayTuesdayWednesdayThursdayFriday
Early AprilCentral Bank Meetings
12
AU Building approvals, Feb (2 April)AU RBA (6 March)
A
U AI-Group PMI, Feb, Index, (51.6)
CH Non-Manuf PMI Feb, Index, (52.9)
AU Retail Trade, Feb (3 April)EZ ECB (8 March)
A
U Capex, QIV, q/y%ch, 0.0, (12.3)
JP CPI, Jan, y%ch, (-0.2)
AU Trade Balance, Feb (4 April)UK BOE (8 March)
A
U RP Data house prices, Jan, m%ch, (-0.2)
EU PPI, Jan, m/y%ch, (-0.2/4.3)
AU Housing Finance (11 April)CA Bank of Canada (8 March)
A
U Build approv, Jan, m%ch, 5.0, (-1.0)
UK PMI construction, Feb, Index, (51.4)
AU Labour Force, Mar (12 April)NZ RBNZ (8 March)NZ Terms of Trade Index, QIV, q%ch, (-0.7)CA GDP, QIV, q%chsaar, (3.5)
JP BoJ (13 March)CH PMI Manufacturing, Feb, Index, (50.5)
US FOMC (13 Mar)JP Vehicle sales, Feb, y%ch, (40.7)
EU/GE/UK PMI manufacturing, Feb, Index, (49/50.1/52.1)
US Total vehicle sales, Feb, mn, (14.13)
US Construction spending, Jan, m%ch, (1.5)
US ISM manufacturing, Feb, Index, (54.1)
US Personal income/spending, Jan, m%ch, (0.5/0.0)
US PCE deflator/core, Jan, y%ch, (2.4/1.8)
CA Current account, QIV, $CAbn , (-12.1)
56
789
AU CBA/Ai-Group Perf of Serv Index, Feb, (51.9)AU RBA cash rate, %, 4.25, (4.25)
A
U Ai-Group PCI, Feb, Index, (39.8)
A
U Labour Force, Feb
A
U Trade balance Jan, $bn, 1.4 , (1.7)
AU TD inflat gauge Feb, m/y%ch, (0.2/2.2)AU Current acc deficit, QIV, $bn, -9.3, (-5.6)
A
U GDP, QIV, q/y%ch, 0.8/2.5, (1.0/2.5) employment, '000, 15, (46.3)
NZ Credit card spending, Feb, m%ch, (1.0)
AU Company profits, QIV, q%ch, -3.5 , (4.8)AU Net export contrib, QIV, ppt, 0.0, (-0.6)
A
U RBA Dep. Gov. Lowe speaks in Sydney unemployment rate, %, 5.1 , (5.1)
CH PPI/CPI, Feb, y%ch, (0.7/4.5)
AU Inventories, QIV, q%ch, 0.7, (-1.1)
EU GDP, QIV, q/y%ch, (-0.3/0.7)JP Leading / Coincident index CI, Jan, (94/93.6)
participation rate, %, 65.3, (65.3)
CH Industrial production, Feb, y%ch, (12.8)
AU ANZ Job ads, Feb, m%ch, (6.0)
GE Factory orders, Jan, m/y%ch, (1.7/0)NZ RBNZ official cash rate, %, 2.5, (2.5)CH Retail sales, Feb, y%ch, (18.1)
EU PMI services/composite, Feb, Index, (49.4/49.7)US Consumer credit, Jan, US$bn, (19.3)NZ Manufacturing activity QIV, q%ch, (0)GE Trade bal, Jan, €bn, (12.9)
EU Retail sales, Jan, m/y%ch, (-0.4/-1.6)CA Building permits, Jan, m%ch, (11.1)JP GDP, QIV, q%ch, (-0.6)UK Industrial production, Jan, m/y%ch, (0.5/-3.3)
GE/UK PMI services, Feb, Index, (52.6/56)JP Curr a/c total/adjusted, Jan, ¥bn, (303.5/752.3)UK PPI Input/Output/core, Feb, y%ch, (7.0/4.1/2.4)
US ISM non-manufacturing, Feb, Index, (56.8)JP Machine tool orders, Feb, y%ch, (-6.9)UK Total trade balance, Jan, £bn, (-1.1)
US Factory orders, Jan, m%ch, (1.1)EU ECB announces int. rate, %, 1.00, (1.00)US Trade balance, Jan, US$bn, (-48.8)
GE Industrial production, Jan, m/y%ch, (-2.9/0.9)US Non-farm payrolls, Feb, '000, (243)
UK BoE announces rates, %, 0.50, (0.50)US/CA Unemployment rate, Feb, %, (8.3/7.6)
CA Bank of Canada, %, 1.00, (1.00)CA Trade balance Jan, C$bn, (2.7)
121314
1516
JP Machine orders, Jan, m/y%ch, (-7.1/6.3)
AU Housing Finance, Jan
A
U MI/WBC Consumer Sent, Mar, Index, (101.1)
A
U MI Consumer Inflation Expectat, Mar, %, (2.5)
JP Leading / Coincident index CI, Jan,
JP Domestic CGPI, Feb, m/y%ch, (-0.1/0.5)
No. of own-occupiers, %, 2.0, (2.3)
A
U Dwelling commencements, QIV, q%ch, -6.0, (-6.8)
A
U MI Unemp. Expt., Mar, Index, (143.6)
EU Trade balance Jan, €bn, (7.5)
JP Consumer confidence, Feb, Index, (40)
Value of all loans, %, -2.0, (2.0)
JP Industrial production, Jan
A
U RBA Bulletin, QI 2012
US CPI, Feb, m/y%ch, (0.2/2.9); Core m/y%ch (0.2/2.3)
AU NAB Bus conf/cond, Feb, Index, (4/2)
JP Capacity utilisation, Jan, m%ch, (3.1)
A
U Motor veh. sales, Feb, m/y%ch, (1.3/2.7)
US Industrial production, Feb, m%ch, (0)
NZ Food prices, Feb, m%ch, (0)JP Machine tool orders, FebNZ Business PMI, Feb, Index, (50.5)US Capacity utilisation, Feb, %, (78.5)
JP BoJ target rate, %, 0-0.10, (0.1)EU CPI, FebEU ECB Monthly report US Uni. Of Michigan confidence, Mar, Index
EU/GE ZEW survey (econ. sentiment), Mar, (-8.1/5.4.)EU Industrial production Jan, y%ch, (-2.0/-1.1)US Empire manufacturing, Mar, Index, (19.53)
US FOMC rate decision, %, 0-¼, (0.25)UK ILO unemployment rate (3mths), Jan, %, (8.4)US Producer price index Feb, m/y%ch, (0.1/4.1)
US Retail sales, Feb, m%ch, (0.4)US Import price index, Feb, m/y%ch, (0.3/7.1)
US Business inventories, Jan, m%ch, (0.4)US Current account balance, QIV, US$bn, (-110.3)
19202122
23
AU RBA Gov. Stevens speaks in Hong KongAU RBA Board Minutes, March
A
U DEWR skilled vacancies, Feb, m%ch, (-0.6)
A
U RBA As. Gov Debelle speaks in Sydney
CA CPI, Feb, m/y%ch, (0.4/2.5)
NZ PSI, Feb, Index, (53.6)
AU RBA As.Gov Edey speaks in Sydney
NZ Current account, QIV, % of GDP, (-4.3)NZ GDP, QIV, q/y%ch, (0.8/1.9)US New home sales, Feb, m%ch, (-2.2)
EU Current account, Jan, €bn, (2.0)GE Producer prices, Feb, m/y%ch, (0.6/3.4)NZ Credit card spending, Feb, m/y%ch, (0.8/3.1)CA Retail sales, Jan, m%ch, (-0.2)
EU Construction output, Jan, m/y%ch, (0.3/7.8)UK CPI, Feb, m/y%ch, (-0.5/3.6); Core, y%ch, (2.6)UK Bank of England minutes JP Trade bal total/adj, Feb, ¥bn, (-1475.0/612.8)
US NAHB housing market index, Mar, (29)US Housing starts/Building Permits, Feb, '000, (699/676)US Existing home sales, Feb, m%ch, (4.3)EU Industrial new orders, Jan, y%ch, (-1.7)
CA Wholesale sales, Jan, m%ch, (0.9)EU/GE PMI services/manufacturing, Mar
UK Retail sales, Feb, m/y%ch, (0.9/2.0)
US Leading indicators, Feb, m%ch, (0.4)
26272829
30
NZ Trade balance, Feb
AU RBA As.Gov Debelle speaks in Sydney
A
U RBA Financial Stability Review
A
U ABS Job vacancies, Feb, m%ch, (-3.3)
A
U RP Data house prices, Feb
GE IFO - Business climate, Mar, Index, (109.6)UK Current account balance QIV, £bn (-15.2)GE CPI, MarNZ NBNZ Business confidence, Mar
A
U Private sector credit, Feb
US Pending home sales, FebUK GDP, QIVUS Durable goods orders, Feb, m%ch, (3.0)JP Retail sales, FebNZ Building permits, Feb
US Dallas Fed Index, MarUK Total bus investment, QIVCA Teranet House Prices, JanUK Net consumer credit, FebJP Markit/JMMA PMI, Mar
US S&P/Case-Shiller home price index, JanUS GDP, QIVJP CPI, Feb
US Richmond Fed, Mar, IndexJP Industrial production/Construction Orders/Housing Starts, Feb
GE Retail sales, Feb, m/y%ch
UK GfK consumer confidence survey, Mar
US Personal income/spending, Feb
US PCE deflator/core, Feb
US

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Global Markets Research
Fixed Income: Weekly Strateg
y

22
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Global Markets Research
Fixed Income: Weekly Strateg
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23
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