The physical bank bill rate fell 2bps to 2.04% while 3 month BBSW fell by 4bps to 2.02%.
Yields and rates did not change much but some swap rates managed to go in the opposite direction to their Commonwealth benchmarks, albeit in a very minor way. The 1 year rate inched up by 1bp to 2.03%, 3 year, 5 year and 10 year rates all remained unchanged at 2.16%, 2.49% and 2.82% respectively and the 15 year rate added 1bp to 2.99%.
As a result, swap-to-bond spreads barely changed; the 3 year spread widened by 1bp to 10bps while the 5 year and 10 year spreads remained unchanged at 23bps and 19bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.96 | -0.02 | 0.09 |
| 90 Day | 2.02 | -0.04 | 0.03 |
| 180 Day | 2.18 | 0.00 | 0.08 |
| 1 Year | 2.03 | 0.01 | 0.04 |
| 3 Year | 2.16 | 0.00 | -0.05 |
| 5 Year | 2.49 | 0.00 | -0.07 |
| 10 Year | 2.82 | 0.00 | -0.07 |
| 15 Year | 2.99 | 0.01 | -0.08 |