The physical bank bill rate dropped again, this time from 1.37% to 1.30%, as did 3-month BBSW. 6-month BBSW followed suit and fell by 7bps to also finish at 1.30%.
The swap curve largely followed its ACGB counterpart. The 1-year rate finished 9bps lower at 1.19%, while 3-year, 5-year, 10-year and 15-year rates each dropped by 11bps to 1.04%, 1.26%, 1.62% and 1.86% respectively.
As a result, swap spreads contracted a little. 3-year and 5-year spread both tightened by 2bps to 6bps and 22bps respectively while the 10-year spread tightened by 1bp to 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.32 | -0.06 | -0.35 |
| 90 Day | 1.30 | -0.07 | -0.35 |
| 180 Day | 1.30 | -0.07 | -0.37 |
| 1 Year | 1.11 | -0.09 | -0.34 |
| 3 Year | 1.04 | -0.11 | -0.33 |
| 5 Year | 1.26 | -0.11 | -0.35 |
| 10 Year | 1.62 | -0.11 | -0.36 |
| 15 Year | 1.86 | -0.11 | -0.35 |