The physical bank bill rate plunged from 1.69% to 1.56% after the March CPI report. 3-month BBSW followed suit and while 6-month BBSW dropped 16bps to 1.61%.
The swap curve lagged its ACGB counterpart on its way down. The 1-year swap rate fell by 16bsp to 1.41%, 3-year rates shed 14bp to 1.39%, 5-year rates lost 15bps to 1.64%, 10-year rates dropped by 14bps to 2.02% and 15-year rates decreased by 13bps to 2.25%.
As a result, swap-to-bond spreads reversed the previous week’s tightening. 3-year spreads widened from 7bps to 10bps, 5-year spreads increased by 3bps to 25bps and 10-year spreads expanded by 3bp to 24bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.60 | -0.10 | -0.20 |
| 90 Day | 1.56 | -0.13 | -0.21 |
| 180 Day | 1.61 | -0.16 | -0.23 |
| 1 Year | 1.41 | -0.16 | -0.17 |
| 3 Year | 1.39 | -0.14 | -0.09 |
| 5 Year | 1.64 | -0.15 | -0.06 |
| 10 Year | 2.02 | -0.14 | 0.00 |
| 15 Year | 2.25 | -0.13 | 0.01 |