Perhaps the most surprising thing in the bank bill market was the absence of larger rate falls than the ones that occurred. Physical bank bill rates dropped by 7bps to 1.79% or 29bps above the official cash rate which is where 3 month BBSW also finished.
Swap-to-bond spreads were a little higher this week as swap yields fell less than the corresponding government bond yield. The 3 year spread rose 2bps from 25bps to 27bps, the 5 year rose from 37bps to 39bps and the 10 year spread rose 1bp from 23bps to 24bps.
The swap curve went a little steeper this week as rates fell at the short and rose at the long end. The 1 year rate was down 6bps to 1.70%, the 3 year rate rose 1bp to 1.70%, 5 year rates were steady at 1.92%, 10 year rates rose 1bp to 2.11% and the 15 year rate was up 4bps to 2.29%.
AFMA BBSW / SWAP RATES
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