AUD Swaps: 3-10y given despite strong domestic data

Chart up line Oct 2022
3-10y AUD swaps have been offered despite strong domestic data. The 3s/10s EFP box steepened up.

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

  • Bond futures rebound despite strong domestic data

  • 3-10y given; Box steeper

  • New issues


Click here for SDR AUD IRS trades


Bond futures rebound despite strong domestic data

AUD bond futures have followed the USD rates market firmer, despite stronger-than-expected domestic data.


On Monday, USD treasury rose with 2-year retreating from nearly its 16-year high. The move was a continuous demand for safe haven assets due to the stronger-than-expected PCE inflation gauge that was released on Friday.


Official data released earlier today showed that retail sales in Australia rebounded from 4% of contraction in December to 1.9% of growth in January. This also beat economists’ forecast of only 1.5% worth of growth.


Bond futures trimmed gains after the data, but resumed the uptrend very soon after. In mid-afternoon Sydney trading 3-year bond future was up 6-ticks at 96.41, and the 3s/10s futures curve was 3bps steeper at 26bps.



3-10y given; Box steeper

Echoing the gains in the underlying cash bond market, there has been modest amount of receiving in AUD swaps. 5-year, for example, has been offered and traded in a tight range around 4.2% on the day, although it also traded briefly at only a basis point lower of 4.23% after lunch break. 3-year started off the day with trades that were 2-3bps lower. Receiving then turned more aggressive after mid-day and it traded down to 6bps lower of 4.03%. 10-year was paid up to 4.47%-4.49% in overnight trading, but was then offered down to 4.43% in domestic trading. These compared to those traded around 4.455% near market close on the previous day.


EFPs were mostly wider. 3-year was up 0.75bp at 44.5bps, 5-year up 1.75bps at 60.5bps, 10-year up 1.25bps at 57.75bps. The 3s/10s EFP box was 0.5bps steeper at 13.25bps.



New issues

  • Select Access Investment raised JPY12bn by selling the following bonds via DB:


    • JPY10bn, 0.45%, March 15, 2024.

    • JPY2bn, 0.6%, March 14, 2025.


  • Southern Australian Government Financing Authority (SAFA) has upsized its existing June 15, 2027 FRNs by AUD30m to bring the new size to AUD1.185m. The deal pays AUD  Overnight Cash Rate + 31bps.


  • Westpac Banking Corp sold USD460m worth of bonds as follows:


    • USD350m paying USD O/N SOFR + 23bps, February 28, 2024 via Daiwa.

    • USD110m paying USD O/N SOFR + 18bps, November 28, 2023 via RBC and UBS.