The physical bank bill rate remained unchanged at 0.90% while 3-month BBSW and 6-month BBSW each remained unchanged at 0.89% and 0.97% respectively.
Swap rates fell a little more at the short end and a little less at the long end than their ACGB counterparts. The 1-year swap rate shed 3bps for the week to 0.79%, 3-year and 5-year rates both fell by 4bps each to 0.77% and 0.96% respectively, the 10-year rate dropped by 5bps to 1.26% and the 15-year rate lost 6bps to 1.47%.
As a result, swap spreads adjusted slightly in both directions. 3-year and 5-year spreads both finished the week 2bps tighter at 4bps and 17bps respectively while the 10-year spread widened by 1bp to 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.85 | 0.00 | -0.07 |
| 90 Day | 0.89 | 0.00 | 0.00 |
| 180 Day | 0.97 | 0.00 | -0.03 |
| 1 Year | 0.79 | -0.03 | -0.04 |
| 3 Year | 0.77 | -0.04 | -0.05 |
| 5 Year | 0.96 | -0.04 | -0.03 |
| 10 Year | 1.26 | -0.05 | -0.03 |
| 15 Year | 1.47 | -0.06 | -0.04 |