The physical bank bill rate moved 4bps higher to 1.99% as did 3-month BBSW. 6-month BBSW increased by 1bp to 2.14%.
The swap curve moved down, largely in line with its ACGB counterpart. The 1-year rate lost 3bps to 1.93%, the 3-year rate dropped 13bps to 1.99%, the 5-year rate fell by 14bps to 2.31% and the both the 10-year and 15-year rates shed 15bps to 2.64% and 2.82% respectively.
As a result, swap-to-bond spreads effectively contracted on a net basis. The 3-year spread lost 3bps to 8bps, the 5-year spread widened by 1bp to 27bps and the 10-year spread remained unchanged at 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.90 | 0.02 | 0.03 |
| 90 Day | 1.99 | 0.04 | 0.06 |
| 180 Day | 2.14 | 0.01 | 0.04 |
| 1 Year | 1.93 | -0.03 | -0.04 |
| 3 Year | 1.99 | -0.13 | -0.17 |
| 5 Year | 2.31 | -0.14 | -0.20 |
| 10 Year | 2.64 | -0.15 | -0.23 |
| 15 Year | 2.82 | -0.15 | -0.24 |