The physical bank bill rate slipped 1bp to 1.86% but 3-month BBSW added 1bp to 1.88%. 6-month BBSW also gained 1bp to 2.00%.
The swap curve lagged its ACGB counterpart on the way down. 1-year rates lost 6bps to 1.76%, the 3-year rate decreased by 11bps to 1.68%, the 5-year rate fell by 12bps to 1.93% and 10-year and 15-year rates both dropped by 15bps to 2.25% and 2.46% respectively.
As a result, swap-to-bond spreads tightened by a couple of basis points. 3-year, 5-year and 10-year spread all tightened by 2bps to 10bs, 26bps and 22bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.01 | -0.14 |
| 90 Day | 1.88 | 0.01 | -0.13 |
| 180 Day | 2.00 | 0.01 | -0.13 |
| 1 Year | 1.76 | -0.06 | -0.08 |
| 3 Year | 1.68 | -0.11 | -0.07 |
| 5 Year | 1.93 | -0.12 | -0.07 |
| 10 Year | 2.25 | -0.15 | -0.10 |
| 15 Year | 2.46 | -0.15 | -0.10 |