The physical bank bill rate remained unchanged at 1.94% as did BBSW. 6-month BBSW increased by 1bp to 2.12%.
The swap curve moved down, generally in line with its ACGB counterpart. The 1-year rate remained steady at 1.98%, the 3-year rate declined by 4bps to 2.18%, 5-year rates lost 5bps to 2.53%, the 10-year rate fell by 7bps to 2.88% and 15-year rates decreased by 8bps to 3.06%.
As a result, swap-to-bond spreads were unchanged on average. The 3-year spread slipped back by 1bp to 10bps, the 5-year spread remained unchanged at 27bps and the 10-year spread widened again by 1bp to 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | -0.03 | 0.01 |
| 90 Day | 1.94 | 0.00 | 0.00 |
| 180 Day | 2.12 | 0.01 | 0.02 |
| 1 Year | 1.98 | 0.00 | 0.03 |
| 3 Year | 2.18 | -0.04 | 0.01 |
| 5 Year | 2.53 | -0.05 | -0.01 |
| 10 Year | 2.88 | -0.07 | -0.04 |
| 15 Year | 3.06 | -0.08 | -0.05 |