Yields in the bank bill market dropped in January as physical rates fell 6bps to finish at 2.29%, 2bps off the low for the month. Rates started declining from the start of the year and the low of 2.27% was reached just after the middle of the month, almost the same day bond yields were at their month’s low. The trading range was only 7bps, less than half of the range seen in the latter part of 2015.
The 90 day BBSW rate moved in lock step to the physical bank bills and it finished the month 9bps lower at 2.29%. Its previous close was 2.38%, 4bps higher than the physical bills. End of year liquidity is the likely reason from the difference.
Swap to bond spreads partially reversed December’s expansion but a quick look at the chart show they are still at or close to the lows of 2015. The 3 year spread fell 3bps to 18bps, while the 5 year spread was down 5bps to 30bps and the 10 year spread fell 13bps to finish the month at 17bps.
AFMA BBSW / SWAP RATES
|MATURITY||CLOSE||Δ MTH||Δ 2MTH||MTH HIGH||MTH LOW|