The physical bank bill rate slipped 1bp to 0.89% while 3-month BBSW remained unchanged at 0.89% and 6-month BBSW lost 2bps to 0.95%.
Swap rates fell about 1bp less than their ACGB counterparts. The 1-year swap rate lost 5bps for the week to 0.74%, 3-year and 5-year rates both fell by 7bps each to 0.70% and 0.89% respectively, the 10-year rate dropped by 6bps to 1.20% and the 15-year rate lost 5bps to 1.42%.
As a result, swap spreads widened a little. The 3-year spread finished the week 1bp wider at 5bps, the 5-year spread increased from 17bps to 20bps and the 10-year spread widened by 1bp to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.82 | -0.03 | -0.08 |
| 90 Day | 0.89 | 0.00 | 0.01 |
| 180 Day | 0.95 | -0.02 | -0.03 |
| 1 Year | 0.74 | -0.05 | -0.06 |
| 3 Year | 0.70 | -0.07 | -0.08 |
| 5 Year | 0.89 | -0.07 | -0.07 |
| 10 Year | 1.20 | -0.06 | -0.05 |
| 15 Year | 1.42 | -0.05 | -0.05 |