BBSW is usually quite stable with weekly movements typically limited to 1bps in either direction. This week was different and 3 month BBSW increased by 9bps to 1.91%. One observer pointed out the move mirrors similar changes in USD LIBOR. This is something to watch.
The physical bank bill rate moved up by 4bps to 1.85% while the 3 month BBSW jumped by 11bps to 1.91%.
The government bond yield curve remained broadly unchanged as yields rose by roughly equal amounts all along the curve. Swap rates moved in a broadly similar manner but a little less at the front end. The 1 year swap rate added 3bps to 1.90%, 3 year and 5 year rates each increased by 4bps to 2.20% and 2.59% respectively, 10 year rates moved up by 5bps to 2.96% and 15 year swaps increased by 4bps to 3.15%.
As a result, movements in swap-to-bond spreads were mostly unchanged, except at the long end. The 3 year and 5 year spreads remained unchanged at 10bps and 22bps, while the 10 year spread lost 3bps to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.76 | 0.05 | 0.06 |
| 90 Day | 1.91 | 0.11 | 0.13 |
| 180 Day | 2.04 | 0.08 | 0.11 |
| 1 Year | 1.90 | 0.03 | 0.02 |
| 3 Year | 2.20 | 0.04 | -0.04 |
| 5 Year | 2.59 | 0.04 | -0.05 |
| 10 Year | 2.96 | 0.05 | -0.04 |
| 15 Year | 3.15 | 0.04 | -0.05 |