The physical bank bill rate and 3 month BBSW both stabilised after a hefty fall in the previous week. Each gained 1bp to finished the week at 1.94%.
The gradient of the government bond yield curve steepened again and swap rates mostly tracked their Commonwealth benchmarks.
The 1 year swap rate gained 3bps to 1.98%, the 3 year rate increased by 6bps to 2.28%, 5 year rates added 9bps to 2.69%, the 10 year rate increased by 12bps to 3.06% and 15 year rates gained 13bps to 3.25%.
As a result, swap-to-bond spreads were almost unchanged. The 3 year spread remained unchanged at 6bps, the 5 year spread added 1bp to 21bps and the 10 year remained unchanged at 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | 0.00 | 0.00 |
| 90 Day | 1.94 | 0.01 | -0.10 |
| 180 Day | 2.06 | 0.02 | -0.09 |
| 1 Year | 1.98 | 0.03 | 0.00 |
| 3 Year | 2.28 | 0.06 | 0.06 |
| 5 Year | 2.69 | 0.09 | 0.12 |
| 10 Year | 3.06 | 0.12 | 0.19 |
| 15 Year | 3.25 | 0.13 | 0.20 |