AUD Swaps: More 10y offers after lunch; EFPs out

• 10y offers intensify after lunch; EFPs out

• New issues

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10y offers intensify after lunch: EFPs out

AUD bond futures extended gains today, tracking the move in the USD rates market on Thursday which was in turn driven by strong demand at the 30-year UST auction. The demand for USD rates was also prompted by bigger-than-expected initial jobless claims data and weaker-than-expected PPI data.

In mid-afternoon Sydney trading 3-year bond future was up 8-ticks at 97.03, and the 3s/10s futures curve was 2bps flatter at 32bps.

The swap market has followed the underlying ACGBs firmer. Swappers noticed trades mostly around the more liquid tenors today. 10-year, for example, traded 2-2.5bps lower in the morning session before receiving turned more aggressive after lunch break when it traded down to 5.75bps lower of 3.8125%. 3-year has been offered too. It traded mostly in a tight range around 3.4% although it went through down to 3.375% around mid-day. These compared to previous close of 3.4125%. 5-year has been relatively less active and went through briefly at 6.5bps lower of 3.48% in the afternoon session.

EFPs were wider across the curve as swaps have been slightly underperforming their underlying ACGBs on the rally. Key EFPs were marked as follows: 3-year up 2.5bps at 39.25bps, 5-year up 0.75bp at 51.25bps, 10-year up 1.75bps at 50.75bps.

New issues

• Rabobank Australia branch sold via CBA AUD300m in May 22, 2024 FRNs that pay AUD 3M BBSW + 48bps.