The physical bank bill rate stabilised and, by the end of the week, it remained unchanged at 1.13%. 3-month BBSW followed slipped 1bp to 1.12% while 6-month BBSW added 1bp to 1.18%.
The swap curve lagged its ACGB counterpart on the way down. The 1-year rate remained unchanged at 1.04%, 3-year rates shed 2bps to 1.02%, 5-year rates lost 3bps to 1.21% while 10-year and 15-year rates both fell by 5bps to 1.58% and 1.83% respectively.
As a result, swap spreads widened by a few basis points. The 3-year spread widened by 2bps to 7bps, 5-year spreads also widened by 2bps to 20bps and the 10-year spread expanded by 3bps to 22bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.13 | 0.00 | -0.19 |
| 90 Day | 1.12 | -0.01 | -0.18 |
| 180 Day | 1.18 | 0.01 | -0.12 |
| 1 Year | 1.04 | 0.00 | -0.07 |
| 3 Year | 1.02 | -0.02 | -0.02 |
| 5 Year | 1.21 | -0.03 | -0.05 |
| 10 Year | 1.58 | -0.05 | -0.04 |
| 15 Year | 1.83 | -0.05 | -0.03 |