The physical bank bill rate fell 5bps to 0.87%, while 3-month BBSW lost 4bps to 0.87%. 6-month BBSW shed 4bps to 0.96%.
Swap rates fell by less than their ACGB counterparts over the week. The 1-year swap rate fell by 5bps to 0.75% while 3-year, 5-year and 10-year rates all lost 3bps to 0.80%, 1.02% and 1.35% respectively. The 15-year rate finished 4bps lower at 1.58%.
As a result, swap spreads were a little wider by the end of the week. The 3-year spread finished 2bps higher at 5bps, the 5-year spread also gained 2bps to 20bps while the 10-year spread added 4bps to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.83 | -0.03 | -0.01 |
| 90 Day | 0.87 | -0.04 | -0.03 |
| 180 Day | 0.96 | -0.04 | -0.03 |
| 1 Year | 0.75 | -0.05 | -0.02 |
| 3 Year | 0.80 | -0.03 | -0.03 |
| 5 Year | 1.02 | -0.03 | -0.05 |
| 10 Year | 1.35 | -0.03 | -0.08 |
| 15 Year | 1.58 | -0.04 | -0.08 |