The physical bank bill rate dropped again, this time from 1.30% to 1.20%, while 3-month BBSW lagged a little and it only fell by 8bps to 1.22%. 6-month BBSW followed suit and fell by 8bps to also finish at 1.22%.
The swap curve largely followed its ACGB counterpart. The 1-year rate finished 10bps lower at 1.01%, 3-year rates dropped by 9bps to 0.95%, 5-year rates were hammered down 13bps to 1.13%, 10-year rates lost 9bps to 1.53% and 15-year rates fell by 8bps to 1.78%.
As a result, swap spreads contracted at the “belly” of the curve. The 3-year spread contracted by just 1bp to 5bps, 5-year spreads tightened by 4bps to 18bps while the 10-year spread remained unchanged at 25bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.24 | -0.08 | -0.34 |
| 90 Day | 1.22 | -0.08 | -0.34 |
| 180 Day | 1.22 | -0.08 | -0.34 |
| 1 Year | 1.01 | -0.10 | -0.32 |
| 3 Year | 0.95 | -0.09 | -0.34 |
| 5 Year | 1.13 | -0.13 | -0.39 |
| 10 Year | 1.53 | -0.09 | -0.37 |
| 15 Year | 1.78 | -0.08 | -0.35 |