AUD Swaps: Bid fades after RBA's hawkish pause; Box flatter

RBA Building
Light paying in AUD swaps faded after the RBA decided to be on hold in a hawkish tone. The 3s/10s EFP box flattened out a tad.

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

  • AUD bond futures trim losses after RBA’s hawkish pause

  • Bids fade after RBA; EFP box flatter


Click here for SDR AUD IRS trades


AUD bond futures trim losses after RBA’s hawkish pause

It wasn’t a big surprise for the market that the RBA decided to keep interest rate unchanged at 4.1% following the conclusion of this month’s monetary policy meeting, as quite a significant number of players had bet a hawkish pause. The central bank reiterated the importance of returning inflation to target and so more tightening might be needed in the future, depending on how inflation and the economy evolve. The central bank was aware of the ongoing high inflation expectations, the labour cost and price setting. According to the RBA, another pause would give the board more time to assess the economic outlook and the risk involved.


AUD bond futures trimmed losses after the meeting. 3-year bond future was down by 11-ticks before the announcement but was then marked unchanged at 96.07 almost immediately after the RBA. It was 2-ticks lower of 96.05 in mid-afternoon Sydney trading,  and the 3s/10s futures curve was 0.5bp steeper at 3bps.



Bids fade after RBA; EFP box flatter

Swap traders have been calmer. A dealer reported paying in 10-year at up to 4.4125% before the RBA, up from previous close of 4.37%. There has not been any material interest in 10-year trades after the meeting although 10-year rate came down to around yesterday’s close soon after the announcement.


3-year, on the other hand, was paid briefly at 5bps higher in earlier trading before last seen changing hands 1bp lower of 2.2575%.


EFPs were mixed. 3-year was down 0.25bp at 32.75bps, 5-year up 1bp at 35.75bps and 10-year down 0.5bp at 40.75bp. The 3s/10s EFP box flattened out by 0.25bp to 8bps.