20 Jun – 24 Jun 2016

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As with most markets, all the action was at the end of the week. Physical bank bills moved in a one basis range until Friday when they dropped 5 bps to 1.95%. The 3 month BBSW rate normally tracks physical bills but on this occasion it remained steady at 2.00%. There were reports of some markets suffering from a loss of liquidity as some players stood back in the swaps markets to watch the action. A realignment of the two rates would be expected shortly.

The movements in swap-to-bond spreads were quite large compared to a normal week. Spreads widened as sovereign bond rates around the world fell dramatically, in some case by as much as 25 bps in a day. The 3 year spread was rose from 24bps to 33bps, the 5 year spread rose 11bps to 45bps and the 10 year spread rose 5bps to 27bps.

This week the swap curve went towards an upside-down “U” shape this week as swap rates fell at both ends but rose in the middle. The 1 year swap rate fell 4bps to 1.83%, the 3 year rate rose 2bps to 1.83%, the 5 year rate rose 3bps to 2.06% and the 10 year and 15 year rates each fell 2bps to 2.27% and 2.46% respectively.

swaps-aus-jun24

AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.850.000.00
90d2.000.000.01
180d2.150.020.03
1 Year1.83-0.04-0.04
3 Year1.830.02-0.02
5 Year2.060.04-0.06
10 Year2.27-0.02-0.17
15 Year2.46-0.02-0.21