The physical bank bill rate dropped by 7bps to 1.90% while 3-month BBSW fell by 8bps to 1.89%. 6-month BBSW fell by 9bps to 2.01%.
The swap curve outpaced its ACGB counterpart on the way down but not by a large amount. 1-year rates fell by 5bps to 1.82%, the 3-year rate dropped by 4bps to 1.75% while 5-year, 10-year and 15-year swap rates all lost 2bps to 2.00%, 2.34% and 2.55% respectively.
As a result, swap-to-bond spreads generally moved a little tighter. The 3-year spread tightened by 2bps to 11bps, the 5-year spread remained unchanged at 28bps and the 10-year spread tightened by 2bps to 24bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.86 | -0.09 | -0.17 |
| 90 Day | 1.89 | -0.08 | -0.19 |
| 180 Day | 2.01 | -0.09 | -0.18 |
| 1 Year | 1.82 | -0.05 | -0.12 |
| 3 Year | 1.75 | -0.04 | -0.14 |
| 5 Year | 2.00 | -0.02 | -0.15 |
| 10 Year | 2.34 | -0.02 | -0.15 |
| 15 Year | 2.55 | -0.02 | -0.13 |