The physical bank bill rate and 3 month BBSW both fell back substantially. Each lost 9bps and finished the week at 1.93%.
The gradient of the government bond yield curve steepened a little and swap rates largely tracked their Commonwealth benchmarks.
The 1 year swap dropped by 7bps to 1.95%, the 3 year rate lost 3bps to 2.22%, 5 year rates slipped by 1bp to 2.60% but both 10 year and 15 year rates added 1bp to 2.94% and 3.12% respectively.
As a result, swap-to-bond spreads shrank at the short end, widened at the “belly” and remained unchanged at the long end, although in each case the change was minimal. The 3 year spread contracted by 2bps to 6bps, the 5 year spread added 1bp to 20bps and the 10 year spread stayed at 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | -0.05 | 0.01 |
| 90 Day | 1.93 | -0.09 | -0.10 |
| 180 Day | 2.04 | -0.07 | -0.08 |
| 1 Year | 1.95 | -0.07 | 0.00 |
| 3 Year | 2.22 | -0.03 | 0.05 |
| 5 Year | 2.60 | -0.01 | 0.08 |
| 10 Year | 2.94 | 0.01 | 0.12 |
| 15 Year | 3.12 | 0.01 | 0.13 |