AUD Swaps: Strong US PPI triggers good 10y bid; Short EFPs in

Chart line down Oct 2022
Strong US PPI has triggered fear over another CPI surprise later this week, backing some good paying in 10y AUD swaps.

Start a free trial to read this article

Join today to access all  Total Derivatives content and breaking news. Already a subscriber? Please Log In to continue reading.

Or contact our Sales Team to discuss subscription options.

Get in Touch
Blurred image of Total Derivatives article content

  • US PPI triggers good 10y bid; Short EFPs a tad tighter

  • New issues


US PPI triggers good 10y bid; Short EFPs a tad tighter

10-year AUD bond future has been leading a selloff on Monday especially after mid-day, as stronger-than-expected US PPI data has prompted renewed fears over continuous and aggressive US Fed rate hike.


In mid-afternoon Sydney trading 10-year bond future was down 7-ticks at 96.631, and the 3s/10s futures curve was 3bps steeper at just above 29.5bps.


10-year swaps have reacted rather wildly to the move in the USD rates market. A trader said the market in Australia is getting ready for another surprise in the US CPI data due on Tuesday following the strong PPI data. Currently, consensus is for US inflation to cool down from 7.7% in October to 7.3% in November. However, recent data all pointed to a hotter economy and there have been fears about US inflation hitting or approaching 8% by the calendar year-end.


The source reported good amount of paying in 10-year since market open. It traded up to 3bps higher of around 4% near mid-day although the majority of the flows have been about 1.5-2.5bps.


The 3- to 5-year area has been bid too, though not as busy as in 10-year. Another market participant noticed 5-year trades at up to 3.76% in the afternoon session, or up 3.5bps from previous close. 3-year, on the other hand, went through mainly between 3.575% and 3.585%, or about 1-2bps higher than Friday’s close.


EFPs are wider at the longer end. At time of writing key EFPs were marked as: 3-year down marginally at just above 51.5bps, 5-year up 0.5bp at 70bps, 10-year up 0.75bp at 62.25bps.



New issues

  • Tasmanian Public Finance has increased the size of its existing 2.5%, January 21, 2033 bonds by AUD87m to bring the new size to AUD851m.