The physical bank bill rate lost 1bp to 1.69% as did 3 month BBSW.
Government bond yields fell at the short end, while longer-dated yields generally held steady. The swap curve acted in a similar manner; The 1 year rate declined by 3bps to 1.78%, the 3 year swap fell by 7bps to 2.10%, 5 year swaps lost 5bps to 2.51% while the 10 year swap rate added 1bp to 2.95% and the 15 year rate increased by 3bps to 3.19%.
(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 spread was steady at 5bps while both the 5 year and 10 year spreads each added 1bp to 25bps and 17bps respectively.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | 0.00 |
| 90d | 1.69 | -0.01 | -0.02 |
| 180d | 1.88 | -0.01 | -0.03 |
| 1 Year | 1.78 | -0.04 | -0.24 |
| 3 Year | 2.10 | -0.07 | -0.08 |
| 5 Year | 2.51 | -0.05 | -0.07 |
| 10 Year | 2.95 | 0.01 | -0.04 |
| 15 Year | 3.19 | 0.03 | -0.03 |