The physical bank bill rate moved up 3bps to 1.81% while the 3 month BBSW increased by 4bps to 1.80%.
The government bond yield curve flattened again but this week as yields at the front of the curve increased while others fell. Swap rates moved in a broadly similar manner. The 1 year swap rate added 1bp to 1.87%, 3 year rates fell 3bps to 2.16%, 5 year rates decreased by 7bps to 2.55%, 10 year rates fell 9bps to 2.91% and 15 year swaps dropped by 11bps to 3.11%.
As a result, movements in swap-to-bond spreads were mixed. The 3 year spread contracted by 2bps to 10bps, the 5 year spread lost 3bps to 22bps but the 10 year spread widened by 2bps to 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.71 | 0.01 | 0.01 |
| 90 Day | 1.80 | 0.04 | 0.01 |
| 180 Day | 1.96 | 0.02 | -0.01 |
| 1 Year | 1.87 | 0.01 | -0.04 |
| 3 Year | 2.16 | -0.03 | -0.12 |
| 5 Year | 2.55 | -0.07 | -0.12 |
| 10 Year | 2.91 | -0.09 | -0.10 |
| 15 Year | 3.11 | -0.11 | -0.10 |