Both the physical bank bill rate and 3 month BBSW slipped by 1bp to 1.96%.
Swap rates decreased all along the curve but their changes were not as large as those of their Commonwealth benchmarks. The 1 year rate dropped back by 3bps to 2.00%, the 3 year lost 7bps to 2.12%, 5 year and 10 year rates each dropped by 10bps to 2.43% and 2.79% respectively and the 15 year rate fell by 9bps to 2.96%.
As a result, swap-to-bond spreads widened across the curve but not in a uniform fashion. 3 year spreads added 3bps to 10bps, 5 year spreads increased by 2bps and 10 year spreads gained 4bps to 20bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.88 | 0.00 | -0.14 |
| 90 Day | 1.96 | -0.01 | -0.15 |
| 180 Day | 2.16 | 0.01 | -0.06 |
| 1 Year | 2.00 | -0.03 | -0.03 |
| 3 Year | 2.12 | -0.07 | -0.04 |
| 5 Year | 2.43 | -0.10 | -0.07 |
| 10 Year | 2.79 | -0.10 | -0.05 |
| 15 Year | 2.96 | -0.09 | -0.05 |