(For those readers who have been interested in the alleged rate-rigging of BBSW by various banks, apparently three of the majors began talks with ASIC during the week.)
The physical bank bill rate slipped another 1bp to 1.70% while the 3 month BBSW remained steady at 1.71% (the difference with last week is the result of rounding).
Government bond yields fell pretty much the same amount all along the curve, while the swap curve flattened as rate fell more at the short end. The 1 year rate fell 3bps to 1.82%, while rates on 3 year, 5 year and 10 year swaps inched down 1bp to 2.17%, 2.585 and 2.98% respectively. The 15 year rate remained unchanged at 3.21%.
As a result swap-to-bond spreads widened. The 3 year spread increased by 3bps to 6bps, the 5 year spread expanded by 2bps to 25bps and the 10 year spread ticked up 1bp to 16bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | -0.01 | -0.01 |
| 90d | 1.71 | 0.00 | -0.01 |
| 180d | 1.91 | 0.00 | 0.02 |
| 1 Year | 1.82 | -0.03 | -0.01 |
| 3 Year | 2.17 | -0.01 | 0.09 |
| 5 Year | 2.58 | -0.01 | 0.12 |
| 10 Year | 2.98 | -0.01 | 0.17 |
| 15 Year | 3.21 | 0.00 | 0.18 |