The physical bank bill rate fell by 4bps to 1.81% while 3-month BBSW lost 3bps to meet it at 1.81%. 6-month BBSW shed 4bps to 1.88%.
The swap curve fell a touch more than its ACGB counterpart at the front of the curve but lagged it at the longer end. The 1-year rate lost 7bps to 1.63%, the 3-year rate dropped by 10bps to 1.53%, the 5-year rate fell by 11bps to 1.76% while 10-year and 15-year rates both dropped by 12bps to 2.09% and 2.31% respectively.
As a result, swap-to-bond spreads changed a little but not by much. The 3-year spread widened by 1bp to 10bps, the 5-year remained unmoved at 26bps while the 10-year spread tightened by 2bps to 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.82 | -0.03 | -0.04 |
| 90 Day | 1.81 | -0.03 | -0.08 |
| 180 Day | 1.88 | -0.04 | -0.13 |
| 1 Year | 1.63 | -0.07 | -0.19 |
| 3 Year | 1.53 | -0.10 | -0.22 |
| 5 Year | 1.76 | -0.11 | -0.24 |
| 10 Year | 2.09 | -0.12 | -0.25 |
| 15 Year | 2.31 | -0.12 | -0.24 |