The physical bank bill rate remained unchanged at 1.94% as did BBSW. 6-month BBSW remained unchanged at 2.12%.
The swap curve moved down, not quite in line with its ACGB counterpart. The 1-year rate slipped 1bp to 1.97%, the 3-year rate shed 2ps to 2.16%, 5-year rates declined by 3bps to 2.50%, the 10-year rate fell by 4bps to 2.84% and 15-year rates decreased by 3bps to 3.03%.
As a result, swap-to-bond spreads were a little tighter. The 3-year spread remained at 10bps while the 5-year spread and 10-year spread both tightened by 1bp to 26bps and 19bps respectively.
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 |