The physical bank bill rate and the 3 month BBSW both increased by 1bp to 2.04%. Both rates are now at a 54bps margin to the official cash rate. There has been quite a bit of commentary on the gap between BBSW and the cash rate/OIS recently (here’s one explanation from a very senior economist).
The gradient of the government bond yield curve steepened as yields rose and increases at the short end were less than those elsewhere along the curve. Swap rates moved in a broadly similar manner but by a smaller magnitude. The 1 year swap gained 2bps to 1.97% while 3 year, 5 year and 10 year rates all increased by 5bps to 2.22%, 2.57% and 2.87% respectively. The 15 year rate gained 6bps to 3.05%.
As a result, swap-to-bond spreads were generally tighter. The 3 year spread lost 4bps to 8bps, the 5 year spread remained unchanged at 22bps and the 10 year spread lost 2bps to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | 0.01 | 0.14 |
| 90 Day | 2.04 | 0.01 | 0.28 |
| 180 Day | 2.13 | 0.01 | 0.19 |
| 1 Year | 1.97 | 0.02 | 0.11 |
| 3 Year | 2.22 | 0.05 | 0.03 |
| 5 Year | 2.57 | 0.05 | -0.05 |
| 10 Year | 2.87 | 0.05 | -0.13 |
| 15 Year | 3.05 | 0.06 | -0.17 |