12 Sep – 16 Sep 2016

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Physical bank bill rates edged up 1bp to 1.74% this week, as did the 3 month BBSW rate. 

Once again, swap-to-bond spreads generally contracted as swap yields lagged a large rise in Commonwealth bond yields, although yields rose pretty much across all markets. The 3 year spread fell 6bps to 10bps, the 5 year spread fell 4bps to 26bps and the 10 year spread fell 5bps to 15bps. As the chart below indicates, swap spreads do not get much lower than this.

160916-swaps

 

The 1 year swap rate was steady at 1.68%, 3 year rates rose 2bp to 1.70%, the 5 year rate rose 6bp to 1.99%, the 10 year rose 10bps to 2.26% and 15 year rates finished the week up 12bps at 2.47%.

160916-swaps2

AFMA BBSW - SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.620.01-0.03
90d1.740.01-0.01
180d1.950.01-0.01
1 Year1.680.000.00
3 Year1.700.020.04
5 Year1.990.060.10
10 Year2.260.100.16
15 Year2.470.120.20