The physical bank bill rate slipped by 1bp to 1.93% while 3-month BBSW fell by 3bps to 1.92%. 6-month BBSW fell by 2bps to 2.11%.
The swap curve moved broadly in line with its ACGB counterpart. The 1-year rate lost 3bps to 1.92% and 3-year rates slipped by 1bp to 2.12%. 5-year rates gained 2bps to 2.50%, 10-year rates increased by 4bps to 2.90% and 15-year rates added 5bps to 3.09%.
As a result, swap-to-bond spreads were mostly a little wider. The 3-year spread widened by 2bps to 10bps, the 5-year spread widened by 3bps to 28bps but the 10-year spread remained unchanged at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.86 | -0.01 | 0.00 |
| 90 Day | 1.92 | -0.03 | -0.03 |
| 180 Day | 2.11 | -0.02 | -0.04 |
| 1 Year | 1.92 | -0.03 | -0.04 |
| 3 Year | 2.12 | -0.01 | 0.03 |
| 5 Year | 2.50 | 0.02 | 0.09 |
| 10 Year | 2.90 | 0.04 | 0.17 |
| 15 Year | 3.09 | 0.05 | 0.18 |