The physical bank bill rate regained part of the previous week’s large fall and, by the end of the week, it had gained 3bps to 0.95%. 3-month BBSW also gained 3bps to 0.95% while 6-month BBSW increased by 4bps to 1.06%.
Swap rates outpaced their ACGB counterparts on the way down. The 1-year rate lost 2bps to 0.83%, the 3-year rate fell by 5bps to 0.75%, the 5-year rate shed 7bps to 0.88%, the 10-year rate dropped by 10bps to 1.11% and 15-year rates declined by 8bps to 1.32%.
As a result, swap spreads contracted in a minor way. The 3-year spread remained unchanged at 5bps, the 5-year spread lost 2bps to 17bps and the 10-year spread slipped by 1bp to 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.02 | 0.01 | -0.03 |
| 90 Day | 0.95 | 0.03 | -0.04 |
| 180 Day | 1.06 | 0.04 | 0.06 |
| 1 Year | 0.83 | -0.02 | -0.03 |
| 3 Year | 0.75 | -0.05 | 0.00 |
| 5 Year | 0.88 | -0.07 | 0.00 |
| 10 Year | 1.11 | -0.10 | -0.04 |
| 15 Year | 1.32 | -0.08 | -0.04 |