The physical bank bill rate lost 3bps to 1.87% while 3-month BBSW fell by 2bps to 1.87%. 6-month BBSW fell by 2bps to 1.99%.
The swap curve and its ACGB counterpart moved largely in line with each other. 1-year rates were unchanged at 1.82%, the 3-year rate increased by 4bps to 1.79%, the 5-year rate gained 5bps to 2.05% while 10-year and 15-year rates both added 6bps to 2.40% and 2.61% respectively.
As a result, swap-to-bond spreads were almost unchanged. The 3-year spread widened by 1bp to 12bs, while the 5-year and 10-year spreads remained unchanged at 28bps and 24bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | -0.02 | -0.18 |
| 90 Day | 1.87 | -0.02 | -0.18 |
| 180 Day | 1.99 | -0.02 | -0.18 |
| 1 Year | 1.82 | 0.00 | -0.10 |
| 3 Year | 1.79 | 0.04 | -0.08 |
| 5 Year | 2.05 | 0.05 | -0.08 |
| 10 Year | 2.40 | 0.06 | -0.05 |
| 15 Year | 2.61 | 0.06 | -0.03 |