The physical bank bill rate remained unchanged at 1.80% while 3 month BBSW slipped back 1bp to 1.80%.
The government bond yield curve remained broadly unchanged as yields rose along the curve. Swap rates acted in a broadly similar pattern with some small differences. The 1 year rate increased by 4bps to 1.90%, the 3 year rate increased by 10bps to 2.18%, 5 year rates gained 13bps to 2.67%, the 10 year rate added 11bps to 3.01% and the 15 year rate increased by 10bps to 3.21%.
Consequently, the 3 year swap spread tightened by 2bps to 4bps, the 5 year spread widened by 1bp to 19bps and the 10 year spread tightened by 1bp to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | 0.00 | 0.01 |
| 90 Day | 1.80 | -0.01 | 0.03 |
| 180 Day | 1.97 | -0.01 | 0.03 |
| 1 Year | 1.91 | 0.04 | 0.10 |
| 3 Year | 2.28 | 0.10 | 0.19 |
| 5 Year | 2.67 | 0.13 | 0.27 |
| 10 Year | 3.01 | 0.11 | 0.30 |
| 15 Year | 3.21 | 0.10 | 0.30 |