The physical bank bill rate gave back nearly all of the previous week’s increase and dropped from 1.65% to 1.56%, as did 3-month BBSW. 6-month BBSW fell by 11bps to 1.56%.
The swap curve largely stayed in step with its ACGB counterpart, as rates fell by near-equal amounts across the curve. As with the previous week, the 1-year rate was out of line with longer tenors but at least it went in the same direction this time. The 1-year rate dropped by 12bps to 1.33%, the 3-year rate lost 8bps to 1.29%, 5-year rates shed 9bps to 1.52 while 10-year and 15-year rates both finished 8bps lower at 1.90% and 2.13% respectively.
As a result, swap-to-bond spreads remained the same on average, with what little variation there was confined to a range of -1bp to +1bp. The 3-year spread widened by 1bp to 10bps, the 5-year spread tightened by 1bp to 25bps and the 10-year spreads widened by 1bp to 26bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.58 | -0.09 | -0.12 |
| 90 Day | 1.56 | -0.09 | -0.13 |
| 180 Day | 1.56 | -0.11 | -0.21 |
| 1 Year | 1.33 | -0.12 | -0.24 |
| 3 Year | 1.29 | -0.08 | -0.23 |
| 5 Year | 1.52 | -0.09 | -0.24 |
| 10 Year | 1.90 | -0.08 | -0.23 |
| 15 Year | 2.13 | -0.08 | -0.22 |