The physical bank bill moved a few more basis points lower following a large fall in the previous week and by the end of the week, it had fallen 3bps to 1.00%. 3-month BBSW also fell 3bps to 1.01% while 6-month BBSW lost 2bps to 1.05%.
The swap curve largely tracked its ACGB counterpart as it moved lower. The 1-year rate fell 6bps to 0.87%, 3-year rates lost 9bps to 0.90%, and the 5-year rate dropped by 12bps to 0.96% and 10-year and 15-year rates both shed 14bps each to 1.31% and 1.56% respectively.
As a result, swap spreads expanded by a few basis points at the front of the curve. The 3-year spread widened by 2bps to 6bps but 5-year and 10-year spreads each remained unchanged at 19bps and 22bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.03 | -0.01 | -0.19 |
| 90 Day | 1.01 | -0.03 | -0.19 |
| 180 Day | 1.05 | -0.02 | -0.17 |
| 1 Year | 0.87 | -0.06 | -0.18 |
| 3 Year | 0.80 | -0.09 | -0.22 |
| 5 Year | 0.96 | -0.12 | -0.24 |
| 10 Year | 1.31 | -0.14 | -0.25 |
| 15 Year | 1.56 | -0.14 | -0.25 |