The physical bank bill rate remained unchanged at 1.74% while the 3 month BBSW also remained unchanged at 1.74%.
The swap curve flattened as rates declined across the curve. The 1 year and 3 year rates each slipped 1bps to 1.82% and 2.07% respectively, the 5 year rate fell 5bps to 2.41% while the 10 year dropped 6bps to 2.75% and the 15 year rate finished 7bps lower at 2.96% respectively.
They did not quite mimic their ACGB counterparts and thus changes in swap-to-bond spreads were mixed. The 3 year spread widened by 2bps to 8bps, the 5 year spread inched down 1bp to 24bps and the 10 year spread widened by 2bps to 17bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | 0.01 |
| 90d | 1.74 | 0.00 | 0.05 |
| 180d | 1.90 | 0.00 | 0.08 |
| 1 Year | 1.82 | -0.01 | 0.06 |
| 3 Year | 2.07 | -0.01 | 0.05 |
| 5 Year | 2.41 | -0.05 | 0.02 |
| 10 Year | 2.75 | -0.06 | -0.07 |
| 15 Year | 2.96 | -0.07 | -0.09 |