The physical bank bill rate added 1bp to 1.71% as did 3 month BBSW.
Government bond yields moved up a few basis points along the curve and the swap curve moved in a similar fashion but with a little variation. The 1 year rate recovered 2bps to 1.78%, 3 year and 5 year swaps each added 5bps to 2.05% and 2.42% respectively and 10 year and 15 year swap rates each gained 3bps to 2.81% and 3.04% respectively.
Swap rates generally rose more than comparable sovereign yields and, as a result, swap-to-bond spreads widened again. The 3 year spread increased by 3bps to 11bps, the 5 year spread added 2bps to 28bps but the 10 year spread remained unchanged at 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.62 | 0.01 | 0.02 |
| 90 Day | 1.71 | 0.01 | -0.01 |
| 180 Day | 1.89 | 0.01 | -0.03 |
| 1 Year | 1.78 | 0.02 | -0.07 |
| 3 Year | 2.05 | 0.05 | -0.16 |
| 5 Year | 2.42 | 0.05 | -0.18 |
| 10 Year | 2.81 | 0.03 | -0.15 |
| 15 Year | 3.04 | 0.03 | -0.12 |