Both the physical bank bill and 3 month BBSW rates remained steady at 1.69%.
The swap rate curve flattened again but this week it was as rates fell across the entire swap curve. The 1 year rate slipped 1bp to 1.75%, the 3 year rate fell 4bps to 2.02%, the 5 year rate dropped 5bps to 2.39%, while both the 10 year and 15 year rates fell 6bps to 2.81% and 3.05% respectively.
Swap-to-bond spreads were stable again this week and not just on average this time. The 3 year spread was unchanged at 7bps, the 5 year swap spread unchanged at 25bps and the 10 year spread was unchanged at 19bps (which seems a little strange but perhaps it is just one of those weeks).
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | -0.02 |
| 90d | 1.69 | 0.00 | -0.02 |
| 180d | 1.82 | 0.01 | -0.03 |
| 1 Year | 1.75 | -0.01 | -0.02 |
| 3 Year | 2.02 | -0.04 | -0.07 |
| 5 Year | 2.39 | -0.05 | -0.10 |
| 10 Year | 2.81 | -0.06 | -0.09 |
| 15 Year | 3.05 | -0.06 | -0.08 |