Australian Semi and SSA Daily Chartpack

A data-intensive daily chartpack from RBC Capital Markets providing relative value analysis, spread movements, and carry/roll metrics for Australian Semi-government, SSA, and ACGB markets.

Key Takeaways

• 1.The report provides a comprehensive daily relative value (RV) assessment of the Australian Semi-government (Semi) and Supranational, Sovereign, and Agency (SSA) bond markets.
• 2.Key performance metrics analyzed include par interpolated spreads to ACGB bonds, Z-spreads to 3m swaps, and asset swap (ASW) spreads across major issuers like TCorp, TCV, and QTC.
• 3.Mean reversion and 'rich/cheap' indicators are derived from 3-month and 12-month historical ranges to identify trading opportunities in specific bond lines.

Table of Contents

• Quick charts
• Curves
• Constant maturity spread time series
• Carry & roll plus other mean reversion indicators
• Spread movements
• Distances from average
• Spreads vs 12m ranges
• Semis rich/cheap
• SSAs rich/cheap
• ACGB RV
• Basket analysis

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