AUD Swaps: Swaps well offered; 10y EFP at new high

Up arrow chart 8 apr 2022
AUD swaps have been well offered with 3y down by more than 10bps. EFPs are wider and 10-year EFP hits its new high.

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  • 3y bond future spikes; RBA hike begins to hurt property market

  • Swaps well offered; 3y down more than 10bps

  • 10y EFP at new high


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3y bond future spikes; RBA hike begins to hurt property market

AUD bond futures spike today, amid renewed fears over a recession in the US following series of weak economic data there. 10-year US treasury yields fell to below 3%, triggering similar move in other rates market. In Australia, recent rate hike has begun to impact the property market with National Australia Bank joining CBA in lifting their mortgage rates. Indeed, official data released earlier showed that Australia’s two biggest housing markets, Sydney and Melbourne, have already led a downtrend in home values last month. This has also supported demand for safe-havens in Australia.


In mid-afternoon Sydney trading 3-year bond future is up by 20.5-ticks at 96.84, and the 3s/10s futures curve is 7bps steeper at 42.5bps.



Swaps well offered; 3y down more than 10bps

Swaps have been well offered with the shorter-end outperforming longer maturities. EFPs are wider as swaps have been underperforming the cash bond market on the rally.


3-year swaps, for example, were offered down more than 10bps in the morning session and traded in a tight range between 3.53% and 3.54%. These compared to those traded up to near 3.67% near market close on Thursday. Receiving there ceased after lunch break and 3-year is currently marked around 3.5%. 3-year EFP widened out by 5bps to 31bps, or about 10bps wider than those the market saw earlier in the week.



10y EFP at new high

Slightly up the maturity spectrum, 5-year traded in several clips between 3.885% and 3.905%, down from those traded around 3.99% in the afternoon on Thursday. 5-year EFP is currently marked 5.75bps wider at 65bps.


10-year has seen good amount of receiving since market open. It was offered down to 4.08% after lunch break, after trading up to 4.135% before mid-day. 10-year EFP is currently marked 2.25bp wider at its fresh high of 46.25bps.


The 3s/10s EFP box flattened out by 2.5bps to 15.5bps.