The physical bank bill rate lost 5bps to 2.00% while 3-month BBSW fell by 4bps to 2.01%. 6-month BBSW also fell by 4bps but to 2.13%.
The swap curve tracked its ACGB counterpart quite well. 1-year rates fell by 8bps to 1.84, the 3-year rate lost 12bps to 1.75%, 5-year rates dropped by 13bps to 2.00%, the 10-year rate decreased by 10bps to 2.35% and the 15-year rate fell by 8bps to 2.56%.
As a result, swap-to-bond spreads mostly widened fractionally along the curve. While the 3-year spread remained unchanged at 14bps, the 5-year and 10-year spreads each widened by 1bp to 29bps and 25bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.99 | -0.03 | -0.02 |
| 90 Day | 2.01 | -0.04 | -0.05 |
| 180 Day | 2.13 | -0.04 | -0.05 |
| 1 Year | 1.84 | -0.08 | -0.11 |
| 3 Year | 1.75 | -0.12 | -0.17 |
| 5 Year | 2.00 | -0.13 | -0.21 |
| 10 Year | 2.35 | -0.10 | -0.21 |
| 15 Year | 2.56 | -0.08 | -0.19 |