Physical bank bills had another week of falls, dropping 1bp to 2.27%, while the 3 month BBSW rate fell a little further, down 3bps to 2.25%.
Swap-to-bond spreads rose over the week as swap rates again tended to fall a little less than their bond counterparts. 3, 5 and 10 year spreads all widened; the 3 year spread rose 5bps to 24bps, the 5 year spread rose 6bps to 34bps and the 10 year spread also rose 6bps to 17bps.
The 1 year swap rate fell 6bps to 2.11%, the 3 year rate fell 7bps to 2.06%, the 5 year rate fell 7bps to 2.30%, the 10 year rate fell 5bps to 2.58% and the 15 year rate fell 8bps to 2.77%.
AFMA BBSW / SWAP RATES
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