In the week previous to this one physical bank bill rates dropped by an abnormally-large 6bps. This week the direction was the same but the amount was only 4bps and the bank bill rate finished at 1.86%, 11bps above the cash rate. The 3 month BBSW rate moved down a similar amount to also finish at 1.86%.
Swap-to-bond spreads were virtually unchanged this week. The 3 year spread rose 1bp from 24bps to 25bps, and the 5 year and 10 year spreads both remained steady at 37bps and 23bps respectively.
The swap curve flattened as rates at the long end curve fell and front end rates were stable. 1 year and 3 year rates were unchanged at 1.76% and 1.71% respectively, the 5 year rate edged down 1bp to 1.92%, and 10 year and 15 year rates both fell 4bps to 2.10% and 2.25% respectively.
AFMA BBSW / SWAP RATES
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