The physical bank bill rate moved up 1bp to 1.78% while the 3 month BBSW also added 1bp, but to 1.77% (after rounding).
The government bond yield curve became a little flatter as yields fell. Swap rates also fell in a generally-similar manner but by a little less than their Commonwealth counterparts. The 1 year swap rate remained unchanged at 1.86%, 3 year and 5 year rates both decreased by 4bps to 2.19% and 2.625 respectively while 10 year and 15 year swaps both fell by 8bps to 3.00% and 3.22% respectively.
Consequently, swap-to-bond spreads increased again. The 3 year spread increased by 2bps to 12bps, the 5 year spread gained 2bps to 25bps while the 10 year spread remained unchanged at 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | 0.03 | 0.00 |
| 90 Day | 1.77 | 0.00 | -0.03 |
| 180 Day | 1.94 | 0.02 | -0.04 |
| 1 Year | 1.86 | 0.00 | 0.00 |
| 3 Year | 2.19 | -0.04 | 0.01 |
| 5 Year | 2.62 | -0.04 | 0.07 |
| 10 Year | 3.00 | -0.08 | 0.10 |
| 15 Year | 3.22 | -0.08 | 0.11 |