The physical bank bill rate crept up 1bp to 1.95% as did BBSW. 6-month BBSW increased by 1bp to 2.13%.
The swap curve moved down, largely in line with its ACGB counterpart but not quite. The 1-year rate slipped 1bp to 1.96%, the 3-year rate lost 4bps to 2.12%, 5-year and 10-year rates both declined by 5bps to 2.45% and 2.79% respectively and 15-year rates decreased by 6bps to 2.97%.
As a result, swap-to-bond spreads were a little wider. The 3-year spread gained 1bp to 11bps, the 5-year spread remained unchanged at 26bps and the 10-year spread crept up 1bp to 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.88 | 0.01 | 0.03 |
| 90 Day | 1.95 | 0.01 | 0.03 |
| 180 Day | 2.13 | 0.01 | 0.06 |
| 1 Year | 1.96 | -0.01 | 0.01 |
| 3 Year | 2.12 | -0.04 | 0.02 |
| 5 Year | 2.45 | -0.05 | 0.02 |
| 10 Year | 2.79 | -0.05 | 0.01 |
| 15 Year | 2.97 | -0.06 | 0.00 |