The physical bank bill rate and 3-month BBSW both slipped by 1bp to 1.95%. 6-month BBSW lost 2bps to 2.14%.
Swap rates decreased all along the curve and in amounts generally in line with their Commonwealth benchmarks. The 1 year rate dropped by 3bps for the second week in a row, this time to 1.97%. 3-year and 5-year rates both lost 3bps to 2.10% and 2.41% respectively while 10-year and 15-year rates both dropped by 5bps to 2.74% and 2.91% respectively.
As a result, swap-to-bond spreads tightened slightly. The 3-year spread slipped 1bp to 9bps, the 5-year was unchanged at 24bps, and 10 year spreads lost 1bp to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.86 | -0.02 | -0.12 |
| 90 Day | 1.95 | -0.01 | -0.11 |
| 180 Day | 2.14 | -0.02 | -0.04 |
| 1 Year | 1.97 | -0.03 | -0.05 |
| 3 Year | 2.10 | -0.02 | -0.06 |
| 5 Year | 2.41 | -0.02 | -0.08 |
| 10 Year | 2.74 | -0.05 | -0.08 |
| 15 Year | 2.91 | -0.05 | -0.07 |