The physical bank bill rate fell noticeably in a week where the RBA reduced the official interest rate by 25bps to 1.00%. By the end of the week, it had fallen 8bps to 1.13%. 3-month BBSW lagged a little and it shed 7bps to 1.13% while 6-month BBSW lost 5bps to 1.17%.
The swap curve followed its ACGB counterpart at the front of the curve but not quite so much further out. 1-year and 3-year rate both finished 2bps lower at 1.03% and 1.00% respectively, 5-year rates lost 3bps to 1.17% while 10-year and 15-year rates each shed 6bps to 1.50% and 1.75% respectively.
As a result, swap spreads changed only superficially. 3-year and 5-year spreads both widened by just 1bp to 7bps and 19bps respectively while the 10-year spread tightened by 1bp to 22bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.13 | -0.09 | -0.28 |
| 90 Day | 1.13 | -0.07 | -0.29 |
| 180 Day | 1.17 | -0.05 | -0.24 |
| 1 Year | 1.03 | -0.02 | -0.22 |
| 3 Year | 1.00 | -0.02 | -0.19 |
| 5 Year | 1.17 | -0.03 | -0.21 |
| 10 Year | 1.50 | -0.06 | -0.22 |
| 15 Year | 1.75 | -0.06 | -0.21 |