The physical bank bill rate moved up 1bp to 1.77% while 3 month BBSW remained unchanged at 1.77%.
The government bond yield curve got steeper again as yields increased more at the long end of the curve. Swap rates also increased in a generally similar fashion. The 1 year swap rate rose by 3bp to 1.86%, the 3 year rate increased by 6bps to 2.23% and the rates of 5 years, 10 year and 15 year swaps all jumped by 8bps to 2.66%, 3.08% and 3.30% respectively.
As a result, swap-to-bond spreads increased. The 3 year spread increased by 2bps to 10bps, the 5 year spread gained 3bps to 23bps and the 10 year spread inched up by 1bp to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.67 | 0.00 | 0.04 |
| 90 Day | 1.77 | 0.01 | -0.02 |
| 180 Day | 1.92 | 0.02 | -0.12 |
| 1 Year | 1.86 | 0.03 | 0.01 |
| 3 Year | 2.23 | 0.06 | 0.09 |
| 5 Year | 2.66 | 0.08 | 0.09 |
| 10 Year | 3.08 | 0.08 | 0.13 |
| 15 Year | 3.30 | 0.08 | 0.13 |