The physical bank bill rate slipped 1bp to 1.95% while 3-month BBSW remained unchanged at 1.95%. 6-month BBSW also slipped by 1bp to 2.14%.
The swap curve flattened as rates fell harder at the short end than they did at the long end. The 1-year rate remained unchanged at 1.96% but the 3-year rates decreased by 4bps to 2.05%, the 5-year rate fell by 5bps to 2.36%, and the 10-year and 15-year rates both lost 2bps each to 2.71% and 2.89% respectively.
As a result, swap-to-bond spreads changed only mildly. The 3-year and 5-year spread both slipped 1bp to 8bps and 23bps respectively, while the 10 year spread remained unchanged at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.86 | 0.00 | -0.07 |
| 90 Day | 1.95 | 0.00 | -0.04 |
| 180 Day | 2.14 | -0.01 | -0.03 |
| 1 Year | 1.96 | 0.00 | -0.08 |
| 3 Year | 2.05 | -0.04 | -0.14 |
| 5 Year | 2.36 | -0.05 | -0.15 |
| 10 Year | 2.71 | -0.02 | -0.11 |
| 15 Year | 2.89 | -0.02 | -0.09 |