The physical bank bill rate slipped back by 1bp to 1.93% as did 3-month BBSW. 6-month BBSW remained unchanged at 2.10%.
The swap curve lagged its ACGB counterpart to a small degree. The 1-year rate gained 2bps to 1.97%, the 3-year rate slipped by 1bp to 2.16%, 5-year rates lost 3bps to 2.51% and 10-year and 30-year rates both decreased by 4bps to 2.88% and 3.07% respectively.
As a result, swap-to-bond spreads were a little wider. The 3-year spread widened by 1bp to 12bps, the 5-year spread remained unchanged at 29bps and the 10-year spread widened by 2bps to 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.02 | 0.00 |
| 90 Day | 1.93 | -0.01 | 0.00 |
| 180 Day | 2.10 | 0.00 | -0.02 |
| 1 Year | 1.97 | 0.02 | 0.04 |
| 3 Year | 2.16 | -0.01 | 0.11 |
| 5 Year | 2.51 | -0.03 | 0.13 |
| 10 Year | 2.88 | -0.04 | 0.14 |
| 15 Year | 3.07 | -0.04 | 0.15 |