26 Apr – 29 Apr 2016

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On the back of the CPI figures, BBSW rates plummeted. Physical bank bills fell 12bps to 2.15% this week, while the 3 month BBSW rate reacted in the same way, also falling 12bps to 2.15%.

Swap-to-bond spreads were essentially steady as bond yields and swap yields fell along with most interest rate instruments. Spreads are currently very much at the low end of the range for the last three years and well under their average levels. The 3 year spread rose 1bp to 20bps while the 5 year and 10 year spreads remained unchanged at 27bps and 12bps respectively.

Swap rates reversed all of the previous week’s rises. The 1 year swap rate fell 15bps to 2.04%, the 3 year rate fell 17bps to 2.06%, the 5 year rate rose 16ps to 2.33%, the 10 year rate rose 11bps to 2.64% and the 15 year rate rose 10bps to 2.84%.

swaps-yieldreport-29apr
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.02-0.06-0.07
90d2.15-0.12-0.15
180d2.29-0.17-0.18
1 Year2.04-0.16-0.16
3 Year2.06-0.17-0.12
5 Year2.33-0.16-0.09
10 Year2.64-0.11-0.06
15 Year2.84-0.10-0.08
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