AUD Swaps: More swaps bid ahead of domestic inflation data

Chart line down Oct 2022
AUD swaps saw light paying ahead of the domestic inflation data, but dealers expect such interest to fade soon.

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

  • 3s/10s futures curve steeper ahead of domestic inflation data

  • Light swaps bid; EFPs mixed


Click here for SDR AUD IRS trades


3s/10s futures curve steeper ahead of domestic inflation data

AUD bond futures extended losses today, tracking the move in the US treasury market on Friday and in Asian trade on Monday. The long-end has been slightly underperforming shorter maturities. The 3s/10s futures curve was therefore 2bps steeper at 41bps in mid-afternoon Sydney trading, as the 3- and 10-year bond futures were 4- and 6-ticks lower at 96.95 and 96.54 respectively.


Dealers said trading in AUD swaps has become more cautious today as players wait for the domestic December inflation data due out this Wednesday. “Jobs data last week was a bit of a surprise and the market is now preparing for a possible shock this week too,” a trader said.


Currently, economists forecast inflation to be 7.7% in December, up from 7.3% in December. On a quarterly basis, it is believed to show a 1.6% growth, down from 1.8% in the 3rd quarter.



Light swaps bid; EFPs mixed

In swaps, a dealer reported light amount of paying, mostly in the more liquid tenors and in a tight range. “Further profit taking should support light paying across the curve, but as bond futures now fall back to near the pre-jobs data level we should see the market quieten down very soon,” the source said.


Flow wise, 10-year traded between 4% and 4.01% on the day, up from those traded around 3.96% near market close on Friday. 3-year went through mostly at 3.465%, compared to those traded up to 3.44% on the previous trading day.


EFPs were mostly flat to a tad tighter. Key EFPs were marked as follows: 3-year down half a basis point to 41.75bps, 5-year up 1.5bps to 64.75, 10-year down marginally to 55bps.