The physical bank bill rate dropped again, this time from 1.42% to 1.37%, as did 3-month BBSW. 6-month BBSW came into line as it fell by 4bps to also finish at 1.37%.
The swap curve largely followed the gyrations of its ACGB counterpart; rates at the short end fell and rates at the long end moved a little higher. The 1-year rate finished 5bps lower at 1.20%, the 3-year rate lost 4bps to 1.15%, 5-year rates slipped 1bp to 1.37%, while 10-year and 15-year rates each crept up 1bp to 1.73% and 1.97% respectively.
As a result, swap spreads moved somewhat haphazardly. 3-year spreads each tightened by 1bp to 8bps but 5-year spreads widened by 2bps to 24bps while the 10-year spread tightened by 1bp to 26bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.38 | -0.03 | -0.19 |
| 90 Day | 1.37 | -0.05 | -0.18 |
| 180 Day | 1.37 | -0.04 | -0.23 |
| 1 Year | 1.20 | -0.05 | -0.21 |
| 3 Year | 1.15 | -0.04 | -0.24 |
| 5 Year | 1.37 | -0.01 | -0.28 |
| 10 Year | 1.73 | 0.01 | -0.32 |
| 15 Year | 1.97 | 0.01 | -0.32 |