The physical bank bill rate lost 3bps to 2.05% as did 3-month BBSW. 6-month BBSW shed 2bps to 2.17%.
The swap curve went in the opposite direction to its ACGB counterpart. 1-year, 3-year and 5-year rates all shed 2bps each to 1.93%, 1.87% and 2.13% respectively while and 10-year and 15-year rates each fell by 4bps to 2.45% and 2.64% respectively.
As a result, swap-to-bond spreads tightened along the curve. The 3-year spread gave back the previous week’s increase and dropped by 5bps to 14bps, the 5-year spread tightened by 2bps to 28bps and the 10-year spread shed 4bps to 24bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 2.02 | -0.01 | 0.01 |
| 90 Day | 2.05 | -0.03 | -0.02 |
| 180 Day | 2.17 | -0.02 | -0.01 |
| 1 Year | 1.92 | -0.02 | 0.00 |
| 3 Year | 1.87 | -0.02 | 0.00 |
| 5 Year | 2.13 | -0.02 | -0.01 |
| 10 Year | 2.45 | -0.04 | -0.02 |
| 15 Year | 2.64 | -0.04 | -0.01 |