The physical bank bill rate rebounded by 4bps to 0.92%, as did 3-month BBSW. 6-month BBSW jumped by 8bps to 0.98%.
Swap rates fell almost uniformly across the curve, largely in line with their ACGB counterparts except at the short end. The 1-year swap rate regained 5bps to 0.77%, the 3-year rate rose by 9bps to 0.74%, the 5-year rate gained 8bps to 0.91%, the 10-year rate increased by 9bps to 1.20% and the 15-year rate finished 8bps higher at 1.42%.
As a result, swap spreads had contracted by 1bp at most places on the curve by the end of the week. 3-year, 5-year and 10-year spreads all ticked down 1bp to 2bps, 16bps and 15bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.82 | 0.02 | -0.05 |
| 90 Day | 0.92 | 0.04 | 0.00 |
| 180 Day | 0.98 | 0.08 | -0.05 |
| 1 Year | 0.77 | 0.05 | -0.04 |
| 3 Year | 0.74 | 0.09 | -0.10 |
| 5 Year | 0.91 | 0.08 | -0.16 |
| 10 Year | 1.20 | 0.09 | -0.21 |
| 15 Year | 1.42 | 0.08 | -0.23 |