The physical bank bill rate dropped by 9bps to 0.80%, while 3-month BBSW fell 8bps to 0.81%. 6-month BBSW dropped by 10bps to 0.81%.
Swap rates lagged their Commonwealth Government counterparts on the way down. The 1-year swap rate shed 10bps to 0.61%, the 3-year rate lost 11bps to 0.55%, the 5-year rate also shed 10bps to 0.69%, the 10-year rate lost 11bps to 0.96% and the 15-year rate finished 12bps lower at 1.17%.
As a result, swap spreads mostly widened. By the end of the week, the 3-year spread had increased from 2bps to 5bps, the 5-year rate had widened by 3bps to 16bps while the 10-year spread remained unchanged at 14bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.79 | -0.02 | -0.02 |
| 90 Day | 0.81 | -0.08 | -0.08 |
| 180 Day | 0.81 | -0.10 | -0.15 |
| 1 Year | 0.61 | -0.10 | -0.16 |
| 3 Year | 0.55 | -0.11 | -0.20 |
| 5 Year | 0.69 | -0.10 | -0.25 |
| 10 Year | 0.96 | -0.11 | -0.28 |
| 15 Year | 1.17 | -0.12 | -0.30 |