The physical bank bill rate gave back 2bps to 0.88% after having barely moved for much of the week. 3-month BBSW lost 1bp to 0.88% and 6-month BBSW fell by 2bps to 0.98%.
Swap rates slightly lagged their ACGB counterparts as yields fell. The 1-year swap rate shed 3bps for the week to finish at 0.80%, the 3-year rate decreased by 4bps to 0.78%, the 5-year rate lost 3bps to 0.96% and the 10-year and 15-year rates both finished 4bps lower at 1.25% and 1.47% respectively.
As a result, swap spreads mostly increased by a basis point. 3-year and 5-year spreads both finished the week 1bp higher at 7bps and 21bps respectively while the 10-year spread remained unchanged at 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.90 | -0.02 | -0.11 |
| 90 Day | 0.88 | -0.01 | -0.04 |
| 180 Day | 0.98 | -0.02 | -0.04 |
| 1 Year | 0.80 | -0.03 | -0.05 |
| 3 Year | 0.78 | -0.04 | -0.02 |
| 5 Year | 0.96 | -0.03 | 0.01 |
| 10 Year | 1.25 | -0.04 | 0.04 |
| 15 Year | 1.47 | -0.04 | 0.07 |