The physical bank bill rate slipped 1bp to 1.71% while the 3 month BBSW remained steady at 1.72%.
Government bond yields rose more as one went out along the curve but the swap curve broadly steepened as rates fell at the short and medium parts of the curve and rose at the long end. The 1 year rate remained unchanged at 1.85%, the 3 year rate fell 3bps to 2.18%, the 5 year rate lost 2bps to 2.58%, the 10 year rate added 3bps to 2.99% and 15 year rates increased by 5bps to 3.21%.
As a result swap-to-bond spreads tightened. The 3 year spread tightened by 2bps to 3bps, the 5 year spread also tightened by 2bps to 23bps and so did the 10 year spread to 15bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | 0.01 |
| 90d | 1.71 | -0.01 | -0.01 |
| 180d | 1.91 | -0.01 | 0.03 |
| 1 Year | 1.85 | 0.00 | 0.05 |
| 3 Year | 2.18 | -0.03 | 0.11 |
| 5 Year | 2.58 | -0.02 | 0.14 |
| 10 Year | 2.99 | 0.03 | 0.18 |
| 15 Year | 3.21 | 0.05 | 0.18 |