5 Sep – 9 Sep 2016

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Physical bank bill rates remained steady this week at 1.73%, as did the 3 month BBSW rate.

Swap-to-bond spreads generally contracted as swap yields lagged behind the end-of-week rise in Commonwealth bonds. The 3 year spread fell 3bps to 16bps and both the 5 year and 10 year spreads fell 1bp to 30bps and 20bps respectively. Swap spreads are another measure of corporate risk and, as with other corporate risk measures, spreads are not far away from the low of the historical range.

160909-bank-swaps

 

 

After a period of stability, swap yields broke from their stupor and rose. The 1 year swap rate rose 2bps to 1.68%, 3 year rates rose 6bps to 1.69%, the 5 year rate rose 7bp to 1.94%, the 10 year rose 9bps to 2.16% and 15 year rates finished the week up 10bps at 2.34%.

 

160909-swaps-chart

AFMA BBSW - SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.62-0.01-0.04
90d1.72-0.01-0.06
180d1.930.00-0.04
1 Year1.680.02-0.02
3 Year1.690.06-0.01
5 Year1.940.070.02
10 Year2.160.090.05
15 Year2.340.100.05