The physical bank bill rate slipped 1bp to 0.88%, as did 3-month BBSW. 6-month BBSW fell by 6bps to 0.90%.
Swap rates fell by a little more than some of their ACGB counterparts at various points on the curve. The 1-year swap rate lost 5bps to 0.72%, the 3-year rate fell by 10bps to 0.65%, the 5-year rate shed 11bps to 0.83% while 10-year and 15-year rates both finished 13bps lower at 1.11% and 1.34% respectively.
As a result, swap spreads were a wider at most places on the curve by the end of the week. The 3-year spread remained unchanged at 3bps, the 5-year spread widened by 1bp to 17bps and the 10-year spread widened by 1bp to 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.80 | -0.01 | -0.07 |
| 90 Day | 0.88 | -0.01 | -0.04 |
| 180 Day | 0.90 | -0.06 | -0.12 |
| 1 Year | 0.72 | -0.05 | -0.14 |
| 3 Year | 0.65 | -0.10 | -0.29 |
| 5 Year | 0.83 | -0.11 | -0.32 |
| 10 Year | 1.11 | -0.13 | -0.36 |
| 15 Year | 1.34 | -0.13 | -0.37 |