The physical bank bill rate shot up by 6bps to 0.90%, mostly at the end of the week after September employment figures were released. 3-month BBSW gained 5bps to 0.89% while 6-month BBSW gained 6bps to 1.00%.
Swap rates slightly outpaced their ACGB counterparts as yields increased. The 1-year swap rate added 9bps for the week to finish at 0.83%, the 3-year rate increased by 10bps to 0.82%, the 5-year rate gained 11bps for a second consecutive week, this time to 0.99%, the 10-year rate rose by another 13bps to 1.29% and the 15-year rate finished 14bps higher at 1.51%.
As a result, swap spreads increased by a few basis points. The 3-year spread finished the week 2bps higher at 6bps, the 5-year spread moved 3bps higher to 20bps and the 10-year spread finished 5bps higher at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.92 | 0.02 | -0.14 |
| 90 Day | 0.89 | 0.05 | -0.14 |
| 180 Day | 1.00 | 0.06 | -0.11 |
| 1 Year | 0.83 | 0.09 | -0.13 |
| 3 Year | 0.82 | 0.10 | -0.10 |
| 5 Year | 0.99 | 0.11 | -0.07 |
| 10 Year | 1.29 | 0.13 | -0.03 |
| 15 Year | 1.51 | 0.14 | -0.01 |