Net 20-Day Delta Accelerates Into Sell-Side Territory

Westpac write “the net A$ delta flipped from the buyside and accelerated into the sell-side territory in March, nearly reaching the large net selling last seen in November last year.”

• “Breaking these flows down by product class, we can see that the flow behind the move was from the return of derivative payside flow. There was some government bond selling in early March, however that dissipated following the flight-to-safety bids in the global bond rally.”
• “Looking at the composition of investors, the largest sellers were domestic real money and funded accounts, while sovereign accounts and offshore real money were buyers.”
• “Breaking down these flows by maturity, most of the sell-side flows came from the 5- to 10-Year and > 10-Year, which coincides with the attractive levels seen in long end swaps from the global market rally. The 3-/10-Year curve also steepened as a result of it, then continued to range trade into month end.”