AUD Swaps: EFP box flattest since June; China concern backs offers

Deflated balloons field 21 Jun 2021
AUD swaps were offered amid concerns over the situation in China. The EFP box has flattened out to levels not seen since late-June.

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  • Futures curve flatter on China concern

  • 5-10y offers; EFP box flattest since June

  • New issues


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Futures curve flatter on China concern

AUD bond futures have been moving in a tight range around previous close, outperforming the selloff in longer-dated USTs in overnight trading which was in turn backed by stronger-than-expected retail sales and PPI data, and fewer-than-expected initial jobless claims.


Rates players have also backed off from selling off further due to further measures from China to support the economy there.


The PBOC kept its one-year MLF interest rate unchanged but added more fund into the market via key policy loan.


A dealer said since it’s already the 10th consecutive month the central bank offers support to the economy, some players have started to worry that the condition there has not been stabilised although retails sales and industrial production data for August was stronger than economists had forecast.


In mid-afternoon Sydney trading 3-year bond future was unchanged and 10-year was up 1.5-ticks at 95.905. The 3s/10s futures curve was therefore 1.5bps flatter at 27bps.



5-10y offers; EFP box flattest since June

Swappers have shown some clear concern about the situation in China, according to a market participant.


10-year swaps therefore saw a good amount of receiving interest. It traded in a tight range around 4.425% before mid-day and was offered down further to trade down to 4.155%. These compared to previous close of around 4.45%. 10-year EFP tightened up by 0.5bps to 31.75bps.


5-year went through down to 1.75bps lower of 4.19% after lunch break, tightening EFP there by a basis point to 38.5bps.


3-year EFP was however 1.75bps wider at 24.75bps. The 3s/10s EFP box flattened out further by 2bps to 7.25bps, or the flattest since late-June.



New issues

  • China Everbright Bank Sydney branch raised USD550m via selling September 20, 2026 FRNs that pay 63bps over SOFR.


  • HSBC issued via itself AUD35m in 4.9%, September 21, 2028 callables with annual call at par form September 2026.


  • KEXIM sold via ML AUD63m in 5.7%, October 6, 2043 bonds.