The physical bank bill rate stabilised and, by the end of the week, it remained unchanged at 1.13%. 3-month BBSW followed suit while 6-month BBSW also finished the week unchanged but at 1.17%.
The swap curve lagged its ACGB counterpart on the way up but only by small amounts. The 1-year rate crept up 1bp to 1.04%, 3-year rates gained 4bps to 1.04%, 5-year rates increased by 7bps to 1.24% while 10-year and 15-year rates each rose by 13bps to 1.63% and 1.88% respectively.
As a result, swap spreads tightened a touch. The 3-year spread tightened by 2bps to 5bps, 5-year spreads contracted by 1bp to 18bps and the 10-year spread tightened by 3bps to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.13 | 0.00 | -0.25 |
| 90 Day | 1.13 | 0.00 | -0.24 |
| 180 Day | 1.17 | 0.00 | -0.20 |
| 1 Year | 1.04 | 0.01 | -0.16 |
| 3 Year | 1.04 | 0.04 | -0.11 |
| 5 Year | 1.24 | 0.07 | -0.13 |
| 10 Year | 1.63 | 0.13 | -0.10 |
| 15 Year | 1.88 | 0.13 | -0.09 |