Westpac: A$ Net Buyside Delta Fell In May Derivate Payside Returns

Westpac note that “the 20-day rolling sum of net A$ buyside delta peaked in early May, falling into month end as derivative payside flows returned to the market and offset some of the buy flows. Looking at the composition of investors, sovereign accounts were the biggest buyers this month, with corporates and domestic real money the biggest payers. Breaking down the flows by product, we can see that the buy flows are split relatively even across government, semi government and corporate bonds. Corporate bond buy flows may have come from investors looking for yield in the credit sell-off, while safe haven buying still prevails, aligning with the wide range trading we saw in the last 2 weeks of the month. The sell-side flows came mostly from derivative paying, which could be investors fixing rates on concerns of the RBA “front-loading” interest rate hikes. The 3-/10-Year curve also continued to flatten slightly in May, with our flows showing large net selling in the 5- to 10-Year maturities.”