Westpac: Net Buyside Delta Accelerated In March

Westpac note that "February's net buy-side flows continued into March and by the end of the month the 20-day rolling delta was running at the fastest pace since November. Looking at the composition of investors, sovereigns were the dominant buyer, with the major sellers being funded accounts, such as hedge funds and balance sheets, and they appear to have taken on some short positions in March, as reflected in February's derivative receive-side reversing to pay-side by the beginning of March. However, the main highlight was the fact that ACGB buying was the highest in over 2 years, and indeed for our complete series going back to 2004. Also, selling of Semis was the largest since the pandemic began, which is also reflected in the recent price action in that sector. Support for the >10-Year maturities continued, which should be expected given how steep the AU curve has become. Even so, we have seen continued net selling of the 5- to 10-Year maturity bucket which suggests the private sector has been happy to sell into the area that the RBA is targeting in the course of its QE programme."