AUD Swaps: 10y turns bid after hawkish RBA; Late-day 3y payers; EDC 2028 Kanga

Computer lines code 30 Jan 2023
The AUD rates market extended losses after the hawkish RBA minutes. 10y turned bid after earlier offers, and 3y payers emerged near market close.

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  • 3y bond future extends losses after hawkish RBA

  • 10y turns bid after earlier offers; Late-day 3y payers

  • New issues – EDC 2028 Kanga


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3y bond future extends losses after hawkish RBA

3-year AUD bond future was marginally lower at the open, but fell further after the RBA February meeting minutes as it indicated a hawkish stance. The key points from the minutes are:


  • The board considered a hike of 25bps or 50bps.

  • Australia’s cash rate is currently lower than many countries.

  • There would be more interest rate hikes.

  • Medium-term inflation expectations remain well anchored.

  • RBA will work on bringing inflation down to 2%-3%.


 In mid-afternoon Sydney trading 3-year bond future was down 3-ticks at 96.42, after dipping by 7 ticks soon after the minutes. The 3s/10s futures curve was a basis point flatter at 25.5bps.



10y turns bid after earlier offers; Late-day 3y payers

10-year swaps started off the day better offered, with trades down to 2bps lower of 4.36%. The meeting minutes then triggered closure of prior 10-year positions, as well as paying interest there. 10-year then traded up to 3.25bps higher of 4.4125%. 10-year EFP was however half a basis point tighter at 54.75bps as the underlying ACGBs have been slightly underperforming their derivatives on the selloff.


3-year was not responding well in earlier trading. Paying only emerged in mid-afternoon domestic trading when it traded up to near 4.03%, up from previous close of 4% and widening EFP there by 0.25bp to 43.75bps.


Slightly up the curve, 5-year has been busily traded, backed by better paying interest there. It traded up 5.5bps higher of 4.2% at one point, although the majority of the flow has been around flat to 0.5bp higher of 4.15%. 5-year EFP was marginally tighter at 57.25bps at time of writing.



New issues – EDC 2028 Kanga

  • Export Development Canada raised AUD1bn via selling 4.5% September 6, 2028 Kangaroo bonds at 34bps over ASWs.