The physical bank bill rate added 1bp to 1.72%, as did 3 month BBSW.
The Government yield curve flattened as yields fell more at the long end and the swap curve moved in a similar fashion. The 1 year rate remained unchanged at 1.78%, 3 year swap rates fell 3bps to 2.01%, 5 year and 10 year swaps each dropped 5bps to 2.37% and 2.76% respectively and the 15 year swap rate lost 6bps to 2.99%.
Swap rates generally fell more than comparable sovereign yields, producing tighter swap-to-bond spreads. 3 year, 5 year and 10 year spreads all tightened by 3bps to finish the week at 8bps, 25bps and 18bps respectively
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.63 | 0.01 | 0.03 |
| 90 Day | 1.72 | 0.01 | 0.01 |
| 180 Day | 1.89 | 0.00 | -0.02 |
| 1 Year | 1.78 | 0.00 | -0.04 |
| 3 Year | 2.01 | -0.03 | -0.16 |
| 5 Year | 2.37 | -0.05 | -0.21 |
| 10 Year | 2.76 | -0.05 | -0.22 |
| 15 Year | 2.99 | -0.06 | -0.22 |