NB. Government bond yields from 8 March onwards have been derived from June bond futures instead of March futures. Swap spreads from previous weeks may not be directly comparable.
The physical bank bill rate slipped 1bp to 1.85% while 3-month BBSW lost 4bps to 1.84%. 6-month BBSW dropped by 8bps to 1.92%.
The swap curve largely tracked its ACGB counterpart in another week of falls. The 1-year rate lost 6bps to 1.70%, the 3-year rate shed 5bps to 1.63%, the 5-year rate fell by 6bps to 1.87%, 10-year rates dropped by 4bps to 2.21% and 15-year rates decreased by 3bps to 2.43%.
As a result, swap-to-bond spreads remained unchanged on average. The 3-year spread tightened by 1bp to 9bps, the 5-year remained unmoved at 26bps while the 10-year spread widened by 1bp to 23bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.00 | -0.10 |
| 90 Day | 1.84 | -0.04 | -0.13 |
| 180 Day | 1.92 | -0.08 | -0.18 |
| 1 Year | 1.70 | -0.06 | -0.17 |
| 3 Year | 1.63 | -0.05 | -0.16 |
| 5 Year | 1.87 | -0.06 | -0.15 |
| 10 Year | 2.21 | -0.04 | -0.15 |
| 15 Year | 2.43 | -0.03 | -0.14 |