The physical bank bill rate and 3 month BBSW both remained unchanged at 1.94%.
Swap rates mostly tracked their Commonwealth benchmarks. The 1 year swap rate lost 2bps to 1.96%, the 3 year rate decreased by 5bps to 2.23%, 5 year rates fell by 8bps to 2.61%, while 10 year and 15 year rates both decreased by 10bps to 2.96% and 3.15%.
As a result, swap-to-bond spreads were almost unchanged from the previous week. The 3 year spread remained at 6bps, the 5 year spread remained at 21bps while the 10 year spread gained 1bp to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.01 | -0.02 |
| 90 Day | 1.94 | 0.00 | -0.13 |
| 180 Day | 2.06 | 0.00 | -0.10 |
| 1 Year | 1.96 | -0.02 | -0.06 |
| 3 Year | 2.23 | -0.05 | -0.05 |
| 5 Year | 2.61 | -0.08 | -0.02 |
| 10 Year | 2.96 | -0.10 | 0.03 |
| 15 Year | 3.15 | -0.10 | 0.05 |