The physical bank bill rate lost 1bp to 1.70% while 3 month BBSW remained unchanged at 1.70%.
Government bond yields rose at the short end and fell at the long end and the swap curve generally acted in the same manner. The 1 year rate remained unchanged at 1.81%, the 3 year swap rate added 1bp to 2.17%, 5 year swaps also remained unchanged at 2.56% while the 10 year swap rate lost 1bp to 2.94% and the 15 year rate dropped by 2bps to 3.16%. (N.B. rounding has made some movements and rates appear to be inconsistent with the previous week.)
As a result swap-to-bond spreads were almost unchanged. The 3 year and 5 year spreads were steady at 5bps and 24bps respectively while the 10 year spread added 1bp to 16bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.01 | 0.00 |
| 90d | 1.70 | 0.00 | -0.02 |
| 180d | 1.89 | -0.01 | -0.01 |
| 1 Year | 1.81 | 0.00 | -0.04 |
| 3 Year | 2.17 | 0.01 | -0.03 |
| 5 Year | 2.56 | 0.00 | -0.02 |
| 10 Year | 2.94 | -0.01 | 0.01 |
| 15 Year | 3.16 | -0.02 | 0.02 |