AUD Swaps: Bid-side flows around mid-day; EFPs out

Australian Coin
AUD swaps continued to see paying interest with most of the flow around mid-day. EFPs were wider.

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  • 3s/10s futures curve cases from steepening further

  • Bid-side flows around mid-day; EFPs out

  • New issues


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3s/10s futures curve cases from steepening further

AUD bond futures were weaker today, except for a brief rally in 10-year near market open when it was up by 2-ticks for a short while. This was despite of the move in the US treasury market where it ended little changed on Wednesday.


In mid-afternoon Sydney trading 3- and 10-year bond futures were down 6- and 4-ticks at 96.66 and 96.215 respectively, and the 3s/10s futures curve ceased from steepening further, and was 2bps flatter at 44.5bps.



Bid-side flows around mid-day; EFPs out

Swaps have been bid, echoing the selloff in their underlying ACGBs. Dealers noticed decent amount of bid-side flow mostly around mid-day, and price action in the afternoon session took swap rates from the 2-year point more than 10bps higher.


10-year swaps traded between 4.2675% and 4.2825% with stronger paying interest after lunch break, up from previous close of 4.2375%. 10-year was marked more than 10bps higher at 4.33% at time of writing.


Slightly down the curve, 5-year traded briefly at about 4.5bps higher of 3.9875%, although price action in later trading saw swap rate there marked 11bps higher, or the highest since mid-November.


20-year traded in several clips in a tight range around 4.285%, up 3.5bps from yesterday’s close. 20-year was marked 12.25bps higher in the afternoon session.


EFPs were wider on the day with key EFPs marked as follow: 3- and 5-year up 1.25bps at 43.75bps and 68.75bps respectively, 10-year up 0.75bp at 53bps. The 3s/10s EFP box flattened out by 0.75bp to 9bps.



New issues

  • Tasmanian Public Finance added AUD86m to its existing 2.5%, January 21, 2033 bonds to bring the new size to AUD851m.