The physical bank bill rate gained 2bps to 0.89%, as did 3-month BBSW. 6-month BBSW remained unchanged at 0.96%.
Swap rates fell by more than their ACGB counterparts, although rates at the very front of the curve were dragged up by the employment figures in the latter stages of the week. The 1-year swap rate gained 2bps to 0.77%, the 3-year rate lost 5bps to 0.75%, the 5-year rate shed 8bps to 0.94% while 10-year and 15-year rates both finished 11bps lower at 1.24% and 1.47% respectively.
As a result, swap spreads were a little tighter at most places on the curve by the end of the week. The 3-year spread finished 2bps lower at 3bps, the 5-year spread also shed 4bps to 16bps and the 10-year spread tightened by 2bps to 15bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.81 | -0.02 | -0.04 |
| 90 Day | 0.89 | 0.02 | -0.02 |
| 180 Day | 0.96 | 0.00 | -0.05 |
| 1 Year | 0.77 | 0.02 | -0.06 |
| 3 Year | 0.75 | -0.05 | -0.15 |
| 5 Year | 0.94 | -0.08 | -0.19 |
| 10 Year | 1.24 | -0.11 | -0.22 |
| 15 Year | 1.47 | -0.11 | -0.22 |