The physical bank bill rate dropped again, this week from 1.56% to 1.44% and it is now less than the official cash rate. 3-month 6-month BBSW dutifully followed. 6-month BBSW has now lined up with 3-month BBSW and the two appear to be tracking one another.
The swap curve tracked its ACGB counterpart, except at the “belly” where swap rates fell a little more. The 1-year rate fell by 6bps to 1.27%, the 3-year rate lost 9bps to 1.20%, 5-year rates shed 11bps to 1.41% while 10-year and 15-year rates both finished 12bps lower at 1.78% and 2.01% respectively.
As a result, some swap-to-bond spreads tightened. The 3-year spread remained unchanged at 10bps, the 5-year spread tightened by 2bps to 23bps and the 10-year spreads tightened by 1bp to 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.47 | -0.11 | -0.23 |
| 90 Day | 1.44 | -0.12 | -0.25 |
| 180 Day | 1.44 | -0.12 | -0.33 |
| 1 Year | 1.27 | -0.06 | -0.30 |
| 3 Year | 1.20 | -0.09 | -0.33 |
| 5 Year | 1.41 | -0.11 | -0.38 |
| 10 Year | 1.78 | -0.12 | -0.38 |
| 15 Year | 2.01 | -0.12 | -0.37 |