The physical bank bill rate dropped by 23bps to 0.57%, while 3-month BBSW fell 26bps to 0.55%. 6-month BBSW shed 22bps to 0.59%.
Swap rates lagged their Commonwealth Government counterparts considerably as yields of all sorts decreased substantially. The 1-year swap rate dropped by 12bps to 0.49%, the 3-year rate lost 5bps to 0.50%, the 5-year rate shed 6bps to 0.63% while 10-year and 15-year rates both decreased by 7bps to 0.89% and 1.10% respectively.
As a result, swap spreads widened noticeably. By the end of the week, the 3-year spread had increased from 5bps to 15bps, the 5-year rate had widened by 8bps to 24bps and the 10-year spread expanded from 14bps to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.58 | -0.21 | -0.22 |
| 90 Day | 0.55 | -0.26 | -0.33 |
| 180 Day | 0.59 | -0.22 | -0.31 |
| 1 Year | 0.49 | -0.12 | -0.23 |
| 3 Year | 0.50 | -0.05 | -0.15 |
| 5 Year | 0.63 | -0.06 | -0.20 |
| 10 Year | 0.89 | -0.07 | -0.22 |
| 15 Year | 1.10 | -0.07 | -0.24 |