The physical bank bill rate and 3 month BBSW both remained unchanged at 2.11%.
Bank bill rates have been a source of speculation since late March, with various theories arising as to why rates have surged. The RBA and others put it down to increased demand for local funding by Australian banks facing higher rates for their US fundraising, while others have suggested a re-rating of Australian bank risk.
Just recently, Westpac’s Sean Callow and David Goodman added their thoughts when they contrasted previous movements with the most recent rises which occurred through June. “Previous widenings have corresponded with tightness in US LIBOR, but the current widening appears domestic in nature.” It sounds if they are leaning towards the latter explanation.
Swap rates tracked their Commonwealth benchmarks as rates/yields fell, although the 1 year swap rate was an exception and it remained unchanged at 2.03%. 3 year and 5 year rates both lost 2bps to 2.16% and 2.50% respectively while 10 year and 15 year rates both slipped by 1bp each to 2.84% and 3.01% respectively.
As a result, swap-to-bond spreads remained unchanged; the 3 year spread at 9bps, the 5 year spread at 22bps and the 10 year spread at 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 2.02 | 0.02 | 0.18 |
| 90 Day | 2.11 | 0.00 | 0.17 |
| 180 Day | 2.22 | 0.00 | 0.16 |
| 1 Year | 2.03 | 0.00 | 0.05 |
| 3 Year | 2.16 | -0.02 | -0.12 |
| 5 Year | 2.50 | -0.02 | -0.19 |
| 10 Year | 2.84 | -0.01 | -0.22 |
| 15 Year | 3.01 | -0.01 | -0.24 |