The physical bank bill rate gained 1bp to 1.71% while the 3 month BBSW lost 1bp to 1.70%.
Government bond yields fell and its yield curve flattened and the swap curve followed suit to some degree. The 1 year rate remained unchanged at 1.82%, while rates on 3 year, 5 year swaps lost 2bps each to 2.15% and 2.55%. 10 year swaps fell by 4bps to 2.94% and the 15 year rate dropped by 3bps to 3.17%.
As a result swap-to-bond spreads tightened. The 3 year spread slipped 1bp to 5bps, the 5 year spread also lost 1bp to end the week at 24bps while the 10 year spread fell 1bp to 15bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | -0.01 |
| 90d | 1.70 | -0.01 | -0.04 |
| 180d | 1.90 | -0.01 | -0.01 |
| 1 Year | 1.82 | 0.00 | 0.00 |
| 3 Year | 2.15 | -0.02 | 0.09 |
| 5 Year | 2.55 | -0.02 | 0.15 |
| 10 Year | 2.94 | -0.04 | 0.20 |
| 15 Year | 3.17 | -0.03 | 0.22 |