Both the physical bank bill and 3 month BBSW rates fell by 2bps to 1.97%.
Swap rates took a slight detour away from the path of their Commonwealth benchmarks while generally heading in the same direction. The 1 year rate fell by 5bps to 1.99%, the 3 year rate decreased by 3bps to 2.16%, 5 year rates lost 2bps to 2.49% while 10 year rates inched up 1bp to 2.83% and the 15 year rate added 2bps to 3.00%.
As a result, swap-to-bond spreads were largely unchanged except at the long end; 3 year and 5 year spreads remained unchanged at 10bps and 24bps respectively while the 10 year spread tightened by 2bp to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.87 | -0.06 | -0.05 |
| 90 Day | 1.97 | -0.02 | -0.09 |
| 180 Day | 2.15 | -0.02 | -0.01 |
| 1 Year | 1.99 | -0.05 | -0.01 |
| 3 Year | 2.16 | -0.03 | -0.04 |
| 5 Year | 2.49 | -0.02 | -0.06 |
| 10 Year | 2.83 | 0.01 | -0.04 |
| 15 Year | 3.00 | 0.02 | -0.04 |