The physical bank bill fell substantially after a several weeks of stability. By the end of the week, it had fallen 10bps to 1.03%. 3-month BBSW lagged a little and fell 8bps to 1.04% while 6-month BBSW shed 11bps to 1.07%.
The swap curve made up for the previous week’s lag and it outpaced its ACGB counterpart as it shifted down. The 1-year rate fell 11bps to 0.93% and 3-year, 5-year, 10-year and 15-year rates all lost 13bps to 0.99%, 1.10%, 1.45% and 1.70% respectively.
As a result, swap spreads narrowed by a few basis points. The 3-year spread tightened by 3bps to 4bps, 5-year spreads tightened by 1bp to 19bps while the 10-year spread remained unchanged at 22bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.04 | -0.09 | -0.20 |
| 90 Day | 1.04 | -0.08 | -0.18 |
| 180 Day | 1.07 | -0.11 | -0.15 |
| 1 Year | 0.93 | -0.11 | -0.08 |
| 3 Year | 0.89 | -0.13 | -0.06 |
| 5 Year | 1.08 | -0.13 | -0.05 |
| 10 Year | 1.45 | -0.13 | -0.08 |
| 15 Year | 1.70 | -0.13 | -0.08 |