The physical bank bill rate remained unchanged at 1.69% after three consecutive weeks of falls. 3-month BBSW also remained unchanged at 1.69% while 6-month BBSW slipped 1bp to 1.76%.
The swap curve lagged its ACGB counterpart. The 1-year swap rate remained unchanged at 1.57%, 3-year rates inched up 1bp to 1.53% while 5-year, 10-year and 15-year rates all increased by 3bps 1.79%, 2.16% and 2.38% respectively.
As a result, swap-to-bond spreads tightened. 3-year spreads tightened from 8bps to 7bps, 5-year spreads fell 2bps to 22bps and 10-year spreads contracted by 4bp to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | 0.00 | -0.12 |
| 90 Day | 1.69 | 0.00 | -0.12 |
| 180 Day | 1.76 | -0.01 | -0.12 |
| 1 Year | 1.57 | 0.00 | -0.06 |
| 3 Year | 1.53 | 0.01 | 0.00 |
| 5 Year | 1.79 | 0.03 | 0.03 |
| 10 Year | 2.16 | 0.03 | 0.07 |
| 15 Year | 2.38 | 0.03 | 0.07 |