The physical bank bill rate did not fall this week but instead, it crept up 1bp to 1.21%. However, 3-month BBSW lagged a little in the previous week and it fell another 2bps to 1.20% while 6-month BBSW remained unchanged at 1.22%.
The swap curve largely followed its ACGB counterpart, as is typical. The 1-year rate finished 4bps higher at 1.05%, 3-year and 5-year rates had increased by 7bps to 1.02% and 1.20% respectively while 10-year and 15-year rates each gained 3bps to 1.56% and 1.81% respectively.
As a result, swap spreads did not change all that much. The 3-year spread widened by just 1bp to 6bps, 5-year spreads remained unchanged at 18bps while the 10-year spread tightened by 2bps to 23bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.22 | -0.02 | -0.25 |
| 90 Day | 1.20 | -0.02 | -0.24 |
| 180 Day | 1.22 | 0.00 | -0.22 |
| 1 Year | 1.05 | 0.04 | -0.22 |
| 3 Year | 1.02 | 0.07 | -0.18 |
| 5 Year | 1.20 | 0.07 | -0.21 |
| 10 Year | 1.56 | 0.03 | -0.22 |
| 15 Year | 1.81 | 0.03 | -0.20 |