The physical bank bill rate added 2bps to 2.08% as did 3-month BBSW. 6-month BBSW inched up 1bp to 2.19%.
The swap curve followed its ACGB counterpart lower but not quite to the same degree. The 1-year rate shed 3bps to 1.94%, the 3-year rate decreased by 6bps to 1.89%, the 5-year rate lost 8bps to 2.15% and 10-year and 15-year rates each fell by 9bps to 2.49% and 2.68% respectively.
As a result, swap-to-bond spreads widened along the curve. The 3-year spread increased by 4bps to 19bps, the 5-year spread widened from 26bps to 30bps and the 10-year spread added 2bps to 28bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 2.03 | 0.02 | 0.12 |
| 90 Day | 2.08 | 0.02 | 0.06 |
| 180 Day | 2.19 | 0.01 | 0.01 |
| 1 Year | 1.94 | -0.03 | -0.03 |
| 3 Year | 1.89 | -0.06 | -0.15 |
| 5 Year | 2.15 | -0.08 | -0.19 |
| 10 Year | 2.49 | -0.09 | -0.18 |
| 15 Year | 2.68 | -0.09 | -0.16 |