Both the physical bank bill and 3 month BBSW rates remained steady at 1.69%.
The swap rate curve flattened again this week as rates fell further as one went out along the curve. The 1 year rate added 1bp to 1.76%, 3 year and 5 year rates each slipped 1bps to 2.01% and 2.38% respectively, the 10 year dropped 4bps to 2.77% and the 15 year rate fell 5bps to 3.01%.
Swap-to-bond spreads were stable (by and large) again this week. The 3 year spread added 1bp to 8bps, the 5 year swap spread remained unchanged at 25bps and the 10 year spread lost 1bp to 18bps.
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 | 1.83 | 0.00 | -0.01 |
| 1 Year | 1.76 | 0.01 | -0.04 |
| 3 Year | 2.01 | -0.01 | -0.11 |
| 5 Year | 2.38 | -0.01 | -0.14 |
| 10 Year | 2.77 | -0.04 | -0.19 |
| 15 Year | 3.01 | -0.05 | -0.19 |