AUD Swaps: 3s/10s at new low; Box flatter; Futures curve inversion due?

Arrow up and down Oct 2022
AUD swaps have been offered and 3s/10s have flattened to its new low. AUD bond futures curve is approaching the inversion point.

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  • Bond futures firmer; Futures curve inversion due?

  • 3s/10s swaps at new low; Box flatter

  • New issues


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Bond futures firmer; Futures curve inversion due?

AUD bond futures were firmer on Monday, despite appetite for riskier assets following further stimulus in China which prompted thoughts about a boost in infrastructure spending.


A dealer reckoned the marginal gains in the rates market was backed by dip-buying, as 10-year bond futures made a downside break below the psychological 96 level on Friday. In mid-afternoon Sydney trading 10-year bond future was up 4-ticks at 96.015, and the 3s/10s futures curve flattened out by 3.5bps to new low of 2bps. The source said the inversion in the USD rates curve has backed a similar move in the AUD rates curve especially now that the Fed has indicated more interest rate hike to come. Indeed, 3s/10s ACGBs inverted last week, the first such move since before the global financial crisis.


Market players were watching the RBA minutes of June MPM which would be released tomorrow and offer further insight on the next RBA policy move.



3s/10s swaps at new low; Box flatter

Tracking the move in the underlying cash bond market, swaps have been offered with stronger receiving interest at the longer end.


10-year swaps traded down to 4.42% in the afternoon session, down from those traded around 4.45% near market close on Friday. 5-year was offered down a few basis point to 4.325% around mid-day although there was also some two-way interest at the open. 3-year traded in several clips on the day. It went through briefly at 4.315% in the morning session and was last seen changing hands at 4.2775%, down from previous close of around 4.32%.


3s/10s swaps flattened out by 2.5bps to their new low of 13.5bps.


EFPs were tighter across the curve. Key EFPs were marked as: 3-year down 1.25bps at 33bps, 5-year down 2.5bps at 36.25bps, 10-year down 1.75bps at 43.5bps. The 3s/10s EFP box flattened out by 0.5bp to 10.5bps.



New issues

  • Ausnet Services Holdings issued via ANZ AUD70m in 6.67%, June 26, 2038 bonds with call at par from April 2038.


  • DBS Bank raised AUD1bn via selling June 26, 2026 covered bonds which pay AUD 3M BBSW + 70bps.


  • SAFA added AUD to its existing June 15, 2027 FRNs to bring the new size to AUD1.33bn. The deal pays 31bps over O/N RBA cash rate.