The physical bank bill rate dropped again but by not nearly as much as in the previous week, this time from 1.44% to 1.42%, as did 3-month BBSW. 6-month BBSW went 1bp further to finish at 1.41%.
The swap curve lagged its ACGB counterpart at the short end but largely tracked it at the long end. The 1-year rate finished 2bps lower at 1.25%, the 3-year rate slipped 1bp to 1.19%, 5-year rates shed 3bps to 1.38%, 10-year rates lost 6bps to 1.72% and the 15-year rate was 5bps lower at 1.96%.
As a result, swap spreads did not move altogether consistently. 3-year and 5-year spreads each tightened by 1bp to 9bps and 22bps respectively but the 10-year spread widened by 2bps to 27bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.41 | -0.06 | -0.19 |
| 90 Day | 1.42 | -0.02 | -0.14 |
| 180 Day | 1.41 | -0.03 | -0.20 |
| 1 Year | 1.25 | -0.02 | -0.16 |
| 3 Year | 1.19 | -0.01 | -0.20 |
| 5 Year | 1.38 | -0.03 | -0.26 |
| 10 Year | 1.72 | -0.06 | -0.30 |
| 15 Year | 1.96 | -0.05 | -0.29 |