The physical bank bill rate fell back and by the end of the week, it had lost the 2bps it had gained in the previous week to finish at 0.97%. 3-month BBSW also shed 2bps to 0.97% while 6-month BBSW slipped 1bp to 0.99%.
The swap curve largely tracked its ACGB counterpart at the front and “belly” of the curves they both moved higher.
The 1-year rate fell by 5bps to 0.81%, 3-year and 5-year rates each lost 4bps to 0.71% and 0.84% respectively, the 10-year rate fell by 5bps to 1.10% and 15-year rates shed 6bps to 1.30%.
As a result, swap spreads mostly remained unchanged. 3-year and 5-year spreads each remained unchanged at 4bps and 17bps respectively but the 10-year spread widened by 3bps to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.05 | 0.00 | 0.01 |
| 90 Day | 0.97 | -0.02 | -0.07 |
| 180 Day | 0.99 | -0.01 | -0.08 |
| 1 Year | 0.81 | -0.05 | -0.12 |
| 3 Year | 0.71 | -0.04 | -0.18 |
| 5 Year | 0.84 | -0.04 | -0.24 |
| 10 Year | 1.10 | -0.05 | -0.35 |
| 15 Year | 1.30 | -0.06 | -0.40 |