01 Feb – 05 Feb 2016

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Physical bank bill rates fell a little in the lead up to the RBA meeting on Tuesday but rates remained unchanged at 2.29% by the end of the week. The 3 month BBSW rate followed suit to finish the week at 2.29%. There is talk that ASIC is close to beginning court action over the BBSW rate setting scandal. Read more here.

Swap-to-bond spreads rose at the shorter end and fell at the longer end over the week. 3 year swap spread rose 4bps to 22bps, the 5 year swap was steady, perhaps understandably given its rise in the previous week while the 10 year swap spread fell 4 bps to 13bps.

Both bond and swap yields again moved lower over the week, with the largest moves at the longer end in both markets. The swap curve continued its recent flattening trend as the 1 year swap rate remained steady at 2.11%, the 3 year rate fell 2bps, the 5 year rate fell 5bps to 2.32% and both the 10 year and 15 year swap rates fell 9bps to 2.68% and 2.93% respectively.

bond-swaps-yieldreport-5feb
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.060.010.00
90d2.290.00-0.03
180d2.410.00-0.03
1 Year2.110.00-0.08
3 Year2.05-0.02-0.14
5 Year2.32-0.05-0.19
10 Year2.68-0.09-0.25
15 Year2.93-0.09-0.26
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