The physical bank bill rate added 1bp to 1.70% as did 3 month BBSW.
Government bond yields fell substantially along the curve and the swap curve pretty much followed suit. The 1 year rate declined by 2bps to 1.76%, the 3 year swap fell by 10bps to 2.00%, 5 year swaps lost 14bps to 2.37% and 10 year and 15 year swap rates each dropped 17bps to 2.78% and 3.01% respectively.
Swap rates did not quite keep up with sovereign yields and, as a result, swap-to-bond spreads widened. The 3 year spread increased by 3bps to 8bps, the 5 year spread added 1bp to 26bps and the 10 year spreadrose by 4bps to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.61 | 0.01 | 0.01 |
| 90 Day | 1.70 | 0.01 | -0.02 |
| 180 Day | 1.88 | 0.00 | -0.04 |
| 1 Year | 1.76 | -0.02 | -0.09 |
| 3 Year | 2.00 | -0.10 | -0.21 |
| 5 Year | 2.37 | -0.14 | -0.23 |
| 10 Year | 2.78 | -0.17 | -0.18 |
| 15 Year | 3.01 | -0.17 | -0.15 |