The physical bank bill rate fell by 5bps to 1.99% while 3 month BBSW fell by 3bps, also to 1.99%.
Swap rates tracked their Commonwealth benchmarks fairly well. The 1 year rate inched up another 1bp to 2.04%, the 3 year rate increased by 3bps to 2.19%, 5 year rates added 2bps to 2.51% while 10 year rates remained unchanged at 2.82% and the 15 year rate slipped by 1bp to 2.98%.
As a result, swap-to-bond spreads barely changed; the 3 year spread remained unchanged at 10bps while the 5 year and 10 year spreads both widened by 1bp to 24bps and 20bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.93 | -0.03 | 0.03 |
| 90 Day | 1.99 | -0.03 | -0.07 |
| 180 Day | 2.17 | -0.01 | 0.01 |
| 1 Year | 2.04 | 0.01 | 0.03 |
| 3 Year | 2.19 | 0.03 | -0.05 |
| 5 Year | 2.51 | 0.02 | -0.10 |
| 10 Year | 2.82 | 0.00 | -0.13 |
| 15 Year | 2.98 | -0.01 | -0.14 |