The physical bank bill rate lost 2bps to 1.93%, as did 3-month BBSW. 6-month BBSW also lost 2bps to 2.12%.
The swap curve steepened as swap rates generally tracked their ACGB counterparts. The 1-year rate lost 3bps to 1.93%, the 3-year rate remained unchanged at 2.05%, the 5-year rate added 2bps to 2.38% and the 10-year and 15-year rates each gained 3bps to 2.74% and 2.92% respectively.
As a result, most swap-to-bond spreads were unchanged. The 3-year and 10-year spreads both remained unchanged at 7bps and 19bps respectively but the 5-year spread widened by 2bps to 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | -0.01 | -0.02 |
| 90 Day | 1.93 | -0.02 | -0.04 |
| 180 Day | 2.12 | -0.02 | -0.03 |
| 1 Year | 1.93 | -0.03 | -0.06 |
| 3 Year | 2.05 | 0.00 | -0.11 |
| 5 Year | 2.38 | 0.02 | -0.11 |
| 10 Year | 2.74 | 0.03 | -0.09 |
| 15 Year | 2.92 | 0.03 | -0.08 |