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Westpac Enter Paid 10s EFP

AUSSIE SWAPS

Westpac entered a paid 10-Year EFP position at 8.5bp, targeting a move to 15.0bp, with a stop at 5.0bp. They note that "this is a tactical trade that should reflect a slowing of the recent futures-led sell-off. The carry at this maturity is significantly better than at the 3-Year maturity and we expect that the spread will benefit from a slowing of the current sell-off, support in the physical 10-Year bonds on a cross market spread basis, growing speculation that the ACGB issuance programme may get paid back and also from any dovish commentary from the RBA. The latter would be expected to see bonds rally but would also see receive positions set around the 1y1y, which would limit shorter EFP performance. The recent performance of the spread has also been encouraging, with the narrowing not extending itself despite the capitulation in the futures."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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