Swaps - AUD
The AUD curve is bear-steepening after a stronger than anticipated CPI report. QE is expected to be extended but not until April.
AUD swap spreads are wider in calm trade ahead of Australia Day. The YCC threshold and QE expiration are key considerations. KBN and IADB sold Kangas.
3s/10s AUD futures curve is approaching its key level. Players believe the inverted USD-AUD spread will prompt further paying in 10y swaps.
Swap flow has eased after the domestic jobs report was in line with expectations. There has been long-end flow. The 3s/10s box spread has edged wider.
AUD curve spreads traded on a corrective flattening move. RBA is expected to outline a YCC exit plan mid-2021. KBN, SNCF and EIB issued Kanga Bonds.
There has been trade in long AUD swaps as curve deals dominate. BNG and ADB have issued Kangaroo Bonds.
5y EFP is tighter as swaps there have been outperforming their underlying ACGBs. 10y saw clearer receiving interest but EFP there is less inverted.
Weak US jobs report has prompted receiving at the back-end of the AUD swap curve. 10y saw paying due to tight 10y USD-AUD swap spread.
A Japanese FSA announcement spurred Social Bond activity. Listing of structured bonds and vanilla bonds issued in the Asia Pacific markets.
The 10s/25s AUD curve spread traded after widening sharply. 5y5y AUD-USD is approaching zero. The 3s/10s box is positive again. IFC tapped Kangas.