The physical bank bill rate slipped 1bp to 1.80% while 3 month BBSW remained unchanged, also at 1.80%.
The government bond yield curve steepened as yields rose by increasing amounts as one went further out along the curve. Swap rates acted in a broadly similar pattern except 5 year rates diverged somewhat.
The 1 year rate increased by 3bps to 1.86%, the 3 year rate increased by 6bps to 2.18%, 5 year rates gained 8bps to 2.55%, the 10 year rate added 11bps to 2.90% and the 15 year rate increased by 12bps to 3.11%.
Consequently, the 3 year swap spread widened by 1bps to 6bps, the 5 year spread tightened by 5bps to 18bps and the 10 year spread remained unchanged at 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | -0.02 | 0.02 |
| 90 Day | 1.80 | 0.00 | 0.05 |
| 180 Day | 1.98 | -0.01 | 0.06 |
| 1 Year | 1.86 | 0.03 | 0.07 |
| 3 Year | 2.18 | 0.06 | 0.17 |
| 5 Year | 2.55 | 0.08 | 0.20 |
| 10 Year | 2.90 | 0.11 | 0.20 |
| 15 Year | 3.11 | 0.12 | 0.19 |