The physical bank bill stabilised after weeks of falls and, by the end of the week, it had ticked up 1bp to 0.97%. 3-month BBSW remained unchanged at 0.97% as did 6-month BBSW.
The swap curve outpaced its ACGB counterpart as they both moved lower. 1-year and 3-year rates both slipped 1bp to 0.80% and 0.71% respectively, the 5-year rate lost 3bps to 0.82%, the 10-year rate shed 9bps to 1.06% and 15-year rates dropped by 12bps to 1.26%.
As a result, swap spreads contracted by a basis point or two along the curve. 3-year and 5-year spreads each tightened by 1bp to 4bps and 16bps respectively while the 10-year spread contracted by 2bps to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.05 | 0.01 | -0.08 |
| 90 Day | 0.97 | 0.00 | -0.16 |
| 180 Day | 0.97 | 0.00 | -0.20 |
| 1 Year | 0.80 | -0.01 | -0.24 |
| 3 Year | 0.71 | -0.01 | -0.33 |
| 5 Year | 0.82 | -0.03 | -0.42 |
| 10 Year | 1.06 | -0.09 | -0.57 |
| 15 Year | 1.26 | -0.12 | -0.62 |