The physical bank bill rate slipped back by 1bp to 1.92% as did 3-month BBSW. 6-month BBSW finished 3bps lower at 2.07%.
The swap curve generally moved in line with its ACGB counterpart. The 1-year rate declined by 2bps to 1.95%, the 3-year rate fell by 6bp to 2.10%, 5-year rates lost 8bps to 2.43% and 10-year and 30-year rates both decreased by 10bps to 2.78% and 2.97% respectively.
As a result, swap-to-bond spreads were a tad tighter. The 3-year spread contracted by 1bp to 11bps, the 5-year spread lost 3bps to 26bps and the 10-year spread tightened by 1bp to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.02 | 0.00 |
| 90 Day | 1.93 | -0.01 | 0.00 |
| 180 Day | 2.10 | 0.00 | -0.02 |
| 1 Year | 1.97 | 0.02 | 0.04 |
| 3 Year | 2.16 | -0.01 | 0.11 |
| 5 Year | 2.51 | -0.03 | 0.13 |
| 10 Year | 2.88 | -0.04 | 0.14 |
| 15 Year | 3.07 | -0.04 | 0.15 |