The physical bank bill rate fell by 4bps for a third consecutive week, this time to 1.69%, as did 3-month BBSW. 6-month BBSW lost 3bps to 1.77%.
The swap curve slipped a little lower, just as its ACGB counterpart did. 1-year and 3-year rates both shed 2bps to 1.57% and 1.52%, the 5-year rate fell by 3bps to 1.76% while 10-year and 15-year rates both slipped by 1bp to 2.13% and 2.35% respectively.
As a result, swap-to-bond spreads did not change all that much. 3-year spreads tightened from 9bps to 8bps, 5-year spreads fell 2bps to 24bps but 10-year spreads crept up 1bp to 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.70 | -0.04 | -0.15 |
| 90 Day | 1.69 | -0.04 | -0.15 |
| 180 Day | 1.77 | -0.03 | -0.15 |
| 1 Year | 1.57 | -0.02 | -0.13 |
| 3 Year | 1.52 | -0.02 | -0.11 |
| 5 Year | 1.76 | -0.03 | -0.11 |
| 10 Year | 2.13 | -0.01 | -0.08 |
| 15 Year | 2.35 | -0.01 | -0.08 |