The physical bank bill rate and the 3 month BBSW both increased by 4bps to 2.00%. Both rates are now at a 50bps margin to the official cash rate.
The slope of the government bond yield curve flattened as short-term yields increased and long-term yields fell. Swap rates moved in a broadly similar manner.
The 1 year swap and 3 year rates both increased by 5bps to 1.96% and 2.21% respectively. The 5 year swap rate added 3bps to 2.57% while the 10 year lost 4bps to 2.86% and the 15 year rate fell by 5bps to 3.04%.
As a result, movements in swap-to-bond spreads were a little tighter, except at the long end. The 3 year spread lost 2bps to 12bps, the 5 year spread eased by 1bp to 24bps and the 10 year spread remained unchanged at 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.80 | 0.02 | 0.13 |
| 90 Day | 2.00 | 0.04 | 0.24 |
| 180 Day | 2.11 | 0.03 | 0.22 |
| 1 Year | 1.96 | 0.05 | 0.13 |
| 3 Year | 2.21 | 0.05 | 0.04 |
| 5 Year | 2.57 | 0.03 | -0.02 |
| 10 Year | 2.86 | -0.04 | -0.15 |
| 15 Year | 3.04 | -0.05 | -0.18 |