The physical bank bill rate fell by 4bps to 1.77%, as did 3-month BBSW. 6-month BBSW shed 4bps to 1.84%.
The swap curve fell broadly in line with its ACGB counterpart. 1-year and 3-year rates each lost 5bps to 1.58% and 1.48% respectively, the 5-year rate fell by 6bps to 1.70% while 10-year and 15-year rates both dropped by 7bps to 2.02% and 2.24% respectively.
As a result, swap-to-bond spreads tightened a tad. The 3-year spread tightened by 1bp to 9bps, the 5-year remained unmoved at 26bps while the 10-year spread tightened by 1bp to 24bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.80 | -0.02 | -0.04 |
| 90 Day | 1.77 | -0.04 | -0.10 |
| 180 Day | 1.84 | -0.04 | -0.15 |
| 1 Year | 1.58 | -0.05 | -0.24 |
| 3 Year | 1.48 | -0.05 | -0.31 |
| 5 Year | 1.70 | -0.06 | -0.35 |
| 10 Year | 2.02 | -0.07 | -0.38 |
| 15 Year | 2.24 | -0.07 | -0.37 |