The physical bank bill rate and the 3 month BBSW both paused their recent surge this week and remained unchanged at 2.07%.
The gradient of the government bond yield curve steepened again as yields rose all along the curve. Swap rates also increased along the curve but by increasing amounts as tenors increased. The 1 year swap inched up by 1bp to 2.03%, the 3 year rate added 2bps to 2.30%, 5 year rates gained 3bps to 2.66%, 10 year rates increased by 5bps to 2.98% and the 15 year rate rose by 6bps to 3.16%.
As a result, swap-to-bond spreads were tighter. The 3 year spread lost 3bps to 6bps, the 5 year spread was 2bps tighter at 20bps, as was the 10 year spread, which moved from 20bps to 18bps.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.89 | 0.02 | 0.13 |
| 90 Day | 2.07 | 0.00 | 0.16 |
| 180 Day | 2.16 | 0.00 | 0.12 |
| 1 Year | 2.03 | 0.01 | 0.13 |
| 3 Year | 2.30 | 0.02 | 0.10 |
| 5 Year | 2.66 | 0.03 | 0.07 |
| 10 Year | 2.98 | 0.05 | 0.02 |
| 15 Year | 3.16 | 0.06 | 0.01 |