The physical bank bill rate and the 3 month BBSW both eased back this week and fell 2bps to 2.05%.
The gradient of the government bond yield curve steepened again as yields rose at the long end. Swap rates largely tracked their Commonwealth benchmarks.
The 1 year swap remained unchanged at 2.03%, the 3 year rate slipped by 1bp to 2.29%, 5 year rates remained unchanged at 2.66% and 10 year and 15 year rates each increased by 2bps to 3.00% and 3.18%.
As a result, swap-to-bond spreads were almost unchanged. The 3 year and 10 year spreads remained uchanged at 6bps and 18bps respectively while the 5 year spread was 1bp tighter at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.90 | 0.01 | 0.12 |
| 90 Day | 2.05 | -0.02 | 0.09 |
| 180 Day | 2.15 | -0.01 | 0.07 |
| 1 Year | 2.03 | 0.00 | 0.12 |
| 3 Year | 2.29 | -0.01 | 0.13 |
| 5 Year | 2.66 | 0.00 | 0.12 |
| 10 Year | 3.00 | 0.02 | 0.10 |
| 15 Year | 3.18 | 0.02 | 0.09 |