AUD Swaps: Light 3-10y bid; Slight bias to go long

Long road 10 Nov 2020
Further selloff in USD rates prompted better paying in 3-10y AUD swaps. ANZ has a slight bias to go long AUD rates.

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 sold off more after mid-day

  • ANZ’s slight bias to go long; Light 3-10y bid

  • New issues


Click here for SDR AUD IRS trades


AUD bond futures sold off more after mid-day

Data released on Friday showed that US PPI in July grew stronger than the previous month and exceeded expectations, triggering a selloff in US treasuries and AUD rates in Asia trading on Monday.


The selloff in AUD bond futures intensified after mid-day with both 3- and 10-year bond futures down by 10-ticks intraday. At time of writing, 3-year was down 9-ticks at 96.09, and the 3s/10s futures curve was a basis point steeper at 29.5bps.



ANZ’s slight bias to go long; Light 3-10y bid

ANZ said in a research piece released earlier today that the team had a slight bias to be long AUD rates going into the week. ANZ believes that reactions to this week’s domestic data will be asymmetric, and any weakness could take out pricing for the possibility of another RBA hike. Whereas, unless the data is very strong, it will be difficult for it to be strong enough to push front-end yields higher.


Flow wise, further weakness in USD rates saw further closing out of prior positions in 10-year. 10-year outright traded briefly at up to 7bps higher of 4.55% near mid-day before such interest faded soon after. Paying in 3-year emerged near lunch break, and it has traded between 6.5-7.5bps higher so far.


EFPs were tighter across the curve. 3-year was down 1.75bps to 24.75bps, 5-year down 0.5bp to 39bps and 10-year down 1.5bps to 35.5bps.



New issues

  • National Housing Finance and Investment Corp added AUD27m to its existing 2.335% June 30, 2036 bond line to bring the new size to AUD435m.