The physical bank bill rate and 3 month BBSW both increased by 5bps to 1.99%. Movements of this magnitude are highly unusual and reminiscent of the moves in March.
Swap rates lagged their Commonwealth benchmarks and, in the case of 1 year swaps, went in an opposing direction. The 1 year swap rate added 3bps to 1.99%, the 3 year rate slipped by 2bps to 2.21%, 5 year rates fell by 5bps to 2.56%, 10 year rates decreased by 7bps to 2.56% and 15 year rates dropped by 8bps to to 3.07%.
As a result, swap-to-bond spreads were a little wider when compared to the previous week. The 3 year spread moved up from 6bps to 9bps, the 5 year spread added 1bp to 22bps and the 10 year spread gained 2bps to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.87 | 0.02 | -0.02 |
| 90 Day | 1.99 | 0.05 | -0.08 |
| 180 Day | 2.10 | 0.04 | -0.06 |
| 1 Year | 1.99 | 0.03 | -0.04 |
| 3 Year | 2.21 | -0.02 | -0.09 |
| 5 Year | 2.56 | -0.05 | -0.10 |
| 10 Year | 2.89 | -0.07 | -0.09 |
| 15 Year | 3.07 | -0.08 | -0.09 |