The physical bank bill rate lost 3bps to 0.90% while 3-month BBSW shed 4bps to 0.89%. 6-month BBSW fell by 8bps to 0.97%, suggesting traders have factored in a lower likelihood of short-term rates rising in the next six months.
Swap rates kept up with their ACGB counterparts in a rough sense as yields fell across the curve. The 1-year swap rate lost 7bps for the week to 0.82%, the 3-year rate fell by 12bps to 0.81%, 5-year and 10-year rates each dropped by 14bps to 1.00% and 1.31% respectively while the 15-year rate declined by 13bps to 1.53%.
As a result, swap spreads moved by minimal amounts. The 3-year spread finished the week 1bp higher at 6bps while 5-year and 10-year spreads each slipped 1bp to 19bps and 15bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.85 | -0.04 | -0.05 |
| 90 Day | 0.89 | -0.04 | 0.05 |
| 180 Day | 0.97 | -0.08 | 0.03 |
| 1 Year | 0.82 | -0.07 | 0.08 |
| 3 Year | 0.81 | -0.12 | 0.09 |
| 5 Year | 1.00 | -0.14 | 0.12 |
| 10 Year | 1.31 | -0.14 | 0.15 |
| 15 Year | 1.53 | -0.13 | 0.16 |