The physical bank bill rate shed 3bps to 1.97% while 3-month BBSW fell by 4bps, also to 1.97%. 6-month BBSW fell by 3bps to 2.10%.
The swap curve did not track its ACGB counterpart particularly well; swap rates at the short end lagged while those at the long end outran. However, the difference was not great. 1-year rates increased by 3bps to 1.87%, the 3-year rate gained 4bps to 1.79%, 5-year rates added 2bps to 2.02% and 10-year and 15-year rates both increased by 1bp to 2.36% and 2.57% respectively.
As a result, swap-to-bond spreads moved within a -1bp to +1bp band. The 3-year spread tightened by 1bp to 13bps, the 5-year spread also tightened by 1bp but to 28bps while the 10-year spread widened by 1bp to 26bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.95 | -0.04 | -0.06 |
| 90 Day | 1.97 | -0.04 | -0.09 |
| 180 Day | 2.10 | -0.03 | -0.08 |
| 1 Year | 1.87 | 0.03 | -0.10 |
| 3 Year | 1.79 | 0.04 | -0.16 |
| 5 Year | 2.02 | 0.02 | -0.21 |
| 10 Year | 2.36 | 0.01 | -0.22 |
| 15 Year | 2.57 | 0.01 | -0.20 |