The physical bank bill rate slipped from 1.56% to 1.55%, as did 3-month BBSW. 6-month BBSW also shed 1bp to 1.60%.
The swap curve largely stayed in step with its ACGB counterpart as yields moved within a narrow range. 1-year and 3-year swap rates both remained unchanged at 1.41% and 1.39% respectively, 5-year rates inched up 1bp to 1.65%, 10-year rates gained 3bps to 2.05% and 15-year rates increased by 4bps to 2.29%.
As a result, swap-to-bond spreads widened a little for a second consecutive week. 3-year spreads remained at 10bps, 5-year spreads increased by 2bps to 27bps and 10-year spreads expanded by 2bps to 26bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.60 | -0.10 | -0.20 |
| 90 Day | 1.56 | -0.13 | -0.21 |
| 180 Day | 1.61 | -0.16 | -0.23 |
| 1 Year | 1.41 | -0.16 | -0.17 |
| 3 Year | 1.39 | -0.14 | -0.09 |
| 5 Year | 1.64 | -0.15 | -0.06 |
| 10 Year | 2.02 | -0.14 | 0.00 |
| 15 Year | 2.25 | -0.13 | 0.01 |