The physical bank bill rate and the 3 month BBSW each slipped by 1bp to 1.79%.
The government bond yield curve moved lower as yields fell along the curve. Swap rates moved in a broadly similar fashion. The 1 year, 3 year and 5 year rates all fell by 3bps to 1.88%, 2.25% and 2.64% respectively while the 10 year and 15 year rates each slipped 1bp to 3.00% and 3.20% respectively.
Consequently, the 3 year swap spread widened by 1bps to 5bps, the 5 year spread tightened by 1bp to 18bps and the 10 year spread remained unchanged at 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | 0.00 | -0.01 |
| 90 Day | 1.79 | -0.01 | -0.01 |
| 180 Day | 1.94 | -0.03 | -0.06 |
| 1 Year | 1.88 | -0.03 | 0.03 |
| 3 Year | 2.25 | -0.03 | 0.05 |
| 5 Year | 2.64 | -0.03 | 0.08 |
| 10 Year | 3.00 | -0.01 | 0.11 |
| 15 Year | 3.20 | -0.01 | 0.11 |