Decent XM volumes again so far today with dealers continuing to report good RM demand which has XMTY back to the bottom of the 5-10 range we have been bouncing around. Late in London yesterday there looked like some interest to receive 5y5y was starting to develop with 2x clips of 130mm+ printing (recouped to 1.75) which has kept EFPs offered in Sydney (along with suspected CTA selling).

We are coming up to very big level outright in the XM, we saw 84.5 in jun last year and not been able to print anywhere near it for a long time, move been hard and fast and would look at owning some XM into that level for a quick retrace over next week.  Flow traders reporting solid buyside interest

YM we have the RBA back in Monday, so maybe eye up some YM for a short term long

 

So far in London spot 1y1y has traded at 11.5 in 320mm+. Back in Dec it felt like dealers were starting to build inventory in received positions in the reds with 1y1y trading around 15.5 and now starting to recycle to clients as ESA balances increase and expectations for a negative bbsw grow although have seen some HF interest to take profit in to the recent bid in whites.

 

Also look to be a bit more activity in the belly today in London and perhaps a function of yesterdays 5y5y flow creating some liquidity/axes around that point and in 3s5s10s. 5y has traded 130mm+ @ 40.25 as well as what look like a number of flies as well including 3s5s10s @ -39. Carry is again starting to look compelling in a QE/YCC world again so might need to be careful with aforementioned paid EFP views and probably look to be a bit more tactical around this bias. Additional SDR trade -> 4y2y vs 6y2y @ 61.5bps