The physical bank bill rate gained 1bp to 1.94% while 3-month BBSW added 2bps to 1.95%. 6-month BBSW increased by 1bp to 2.13%.
The swap curve moved broadly in line with its ACGB counterpart. The 1-year rate slipped by 2bps to 1.95%, 3-year and 5-year rates each lost 4bps to 2.13% and 2.48% respectively while 10-year and 15-year rates each fell by 3bps to 2.86% and 3.04% respectively.
As a result, swap-to-bond spreads were almost unchanged on average. The 3-year spread widened by 2bps to 8bps, the 5-year spread tightened by 1bp to 25bps and the 10-year spread remained unchanged at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.87 | 0.02 | 0.01 |
| 90 Day | 1.95 | 0.02 | 0.00 |
| 180 Day | 2.13 | 0.01 | -0.01 |
| 1 Year | 1.95 | -0.02 | -0.02 |
| 3 Year | 2.13 | -0.04 | 0.03 |
| 5 Year | 2.48 | -0.04 | 0.07 |
| 10 Year | 2.86 | -0.03 | 0.12 |
| 15 Year | 3.04 | -0.03 | 0.13 |