AUD Swaps: Swaps given after US CPI; Curve flattens

Deflated balloons field 21 Jun 2021
AUD swaps saw relatively busier flow today, backed by receiving after the US CPI data. The swap curve flattened out.

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  • Bond futures rebound after US CPI

  • Swaps given; Curve steeper as short-end outperforms

  • New issues


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Bond futures rebound after US CPI

AUD bond futures rebounded today, as the latest US CPI data reinforced traders’ expectations that the US Fed would pause from tightening further in June.


Core US inflation came in at 4.9% when the market had expected it to stay unchanged at 5%. Inflation excluding food and energy, on the other hand, matched economists' forecast of 5.5%, down from 5.6% in the previous month.


In mid-afternoon Sydney trading 3-year bond future was up 4-ticks at 96.93, and the 3s/10s futures curve was unchanged at 34.5bps.



Swaps given; Curve steeper as short-end outperforms

The swap market saw busier flow today as players were more confident about the near-term direction. A swapper reported good amount of receiving in 3-year, which went through down to 3.4275% near lunch break, down from previous close of around 3.5%. 10-year was subdued in the morning but was then offered down 5bps to 3.91% in the afternoon session. 5-year traded in several clips at midday between 3.585% and 3.595%, compared to yesterday’s close of 3.6375%.


The curve flattened out as the short-end has been outperforming the longer-end on the rally. EFPs were tighter at the shorter-end with widening seen at the superlong-end. Key EFPs were marked as follows: 3-year down marginally to 37.75bps, 5- and 10-year down 0.5bp to 51.5bps and 50.25bps respectively.



New issues

  • Ontario Province added via TD Securities AUD35m to its existing 2% October 3, 2034 Kangaroo bonds at ACGBs + 83.25bps. The new size of the line is now AUD355m.


  • Suncorp-Metway raised AUD1bn via selling the following May 18, 2026 domestic bonds:


    • AUD250m, 4.5%.

    • AUD750m paying AUD 3M BBSW + 105bps.