The physical bank bill rate and 3 month BBSW were both unchanged (after rounding) at 2.06%.
Swap rates generally kept up with their Commonwealth benchmarks with some small variations. The 1 year swap rate slipped 1bp to 2.00%, the 3 year rate decreased by 4bps to 2.20%, 5 year rates fell by 6bps to 2.55% and 10 year and 15 year rates each dropped by 8bps to 2.87% and 3.04% respectively.
As a result, swap-to-bond spreads were unchanged on the whole as they moved to offset each other. The 3 year spread rebounded from 6bps to 8bps, the 5 year spread slipped 1bp to 20bps and the 10 year spread inched up by 1bp to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.92 | 0.02 | 0.03 |
| 90 Day | 2.06 | 0.00 | 0.04 |
| 180 Day | 2.16 | 0.00 | 0.05 |
| 1 Year | 2.00 | -0.01 | -0.02 |
| 3 Year | 2.20 | -0.04 | -0.05 |
| 5 Year | 2.55 | -0.06 | -0.06 |
| 10 Year | 2.87 | -0.08 | -0.06 |
| 15 Year | 3.04 | -0.08 | -0.07 |