The physical bank bill rate dropped noticeably and, by the end of the week, it had shed 11bps to finish at 0.92%. 3-month BBSW also lost 11bps to 0.92% while 6-month BBSW fell by 9bps to 1.02%.
A week ago, swap rates had outpaced their ACGB counterparts on the way up and this week they outpaced their ACGB counterparts on the way down as they all dropped fairly evenly. The 1-year rate lost 11bps to 0.85%, the 3-year rate fell 12bps to 0.80%, 5-year and 10-year rates each fell by 11bps to 0.95% and 1.21% respectively while 15-year rates dropped by 12bps to 1.40%.
As a result, swap spreads increased but not by terribly much. The 3-year spread crept up from 4bps to 5bps, the 5-year spread gained 3bps to 19bps while the 10-year spread inched up 1bp to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.01 | -0.05 | -0.04 |
| 90 Day | 0.92 | -0.11 | -0.05 |
| 180 Day | 1.02 | -0.09 | 0.05 |
| 1 Year | 0.85 | -0.11 | 0.05 |
| 3 Year | 0.80 | -0.12 | 0.09 |
| 5 Year | 0.95 | -0.11 | 0.13 |
| 10 Year | 1.21 | -0.11 | 0.15 |
| 15 Year | 1.40 | -0.12 | 0.14 |