The physical bank bill rate increased by 2bps to 1.75% while 3 month BBSW only increased by 1bp to 1.74%.
The government bond yield curve steepened modestly as yields rose a little more at the long end and swap rates generally followed suit. The 1 year (swap) rate increased by 2bps to 1.79%, 3 year and 5 year rates each added 1bp to 2.01% and 2.35% respectively, 10 year and 15 year rates each increased by 2bps to 2.73% and 2.95% respectively.
The 3 year swap spread contracted by 1bp to 7bps, the 5 year spread remained unchanged at 24bps while the 10 year spread tightened by 1bp to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.66 | 0.01 | 0.06 |
| 90 Day | 1.74 | 0.01 | 0.04 |
| 180 Day | 1.92 | 0.03 | 0.03 |
| 1 Year | 1.79 | 0.02 | -0.02 |
| 3 Year | 2.01 | 0.01 | -0.16 |
| 5 Year | 2.35 | 0.01 | -0.20 |
| 10 Year | 2.73 | 0.02 | -0.21 |
| 15 Year | 2.95 | 0.02 | -0.21 |