AUD Swaps: Good swap offers; Box flatter; Toronto-Dominion Bank covered bonds

Rolled flat road 21 Jun 2021
The AUD bond futures curve was flatter, contrasting the more in the USD rates curve. Swaps have been well offered and the EFP box flattened out.

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

  • Futures curve flatter as 10y slightly outperforms

  • Good 10y offers; Box flatter

  • New issues - Toronto-Dominion Bank covered bonds


Click here for SDR AUD IRS trades


Futures curve flatter as 10y slightly outperforms

Key rates markets around the world rallied in overnight trading and such sentiment has extended to the Asia markets. The move was triggered by survey results in the UK which revealed that firms in the country expect price to raise at the slowest pace in almost two years, and despite fewer-than-expected initial jobless claim data from the US.


The AUD bond futures curve did not follow the USD curve bull-steeper. Indeed, the 3s/10s futures curve was unchanged to 3bps flatter on the day as 10-year has been slightly outperforming 3-year on the rally. The slope was 0.5bp flatter at 31bps after lunch break.



Good 10y offers; Box flatter

10-year swaps have been busily traded, backed by receiving as they have been tracking the move in the underlying cash bond market. A trader reported flows at down to 4.4225% before lunch break, down from previous close of 4.4925%. 10-year was last seen traded through 4.435%, widening EFP there by a basis point to 34.5bps as cash bonds there have been slightly outperforming their derivatives on the rally.


Activities in 5-year emerged mostly after lunch break and went through 7bps lower of 4.155% around domestic close.


3-year trades began in late-morning domestic trading when it went through down to below 4%. It then traded mostly in a tight range around 4.0225% in the afternoon session, down from Thursday’s close of around 4.05%.


3- and 5-year EFPs were 1.75bps and 1.5bps wider at 24.75bps and 39.75bps respectively.


The 3s/10s EFP box flattened out by half a basis point to 10bps.



New issues - Toronto-Dominion Bank covered bonds

  • Toronto-Dominion Bank has launched a 5-year AUD-denominated fixed- and/or floating-rate covered bond deal.


  • Toyota Finance has priced a 3- and 5-year AUD-denominated bond deal with pricing at +100bps and +120bps respectively.