The physical bank bill rate fell back heavily after a modest rise in the previous week and, by the end of the week, it had gained shed 11bps to 0.84%. 3-month and 6-month BBSW each fell by 10bps to 0.85% and 0.96% respectively.
Swap rates slightly outpaced their ACGB counterparts on the way down. 1-year, 3-year and 5-year rates all dropped by 11bps each to 0.72%, 0.64% and 0.77% respectively while the 10-year rate fell by 8bps to 1.03% and the 15-year rate shed 7bps to 1.25%.
As a result, swap spreads contracted. The 3-year and 5-year spreads each slipped by 1bp to 4bps and 16bps respectively while the 10-year spread lost 2bps to 14bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.90 | -0.12 | -0.15 |
| 90 Day | 0.85 | -0.10 | -0.12 |
| 180 Day | 0.96 | -0.10 | -0.03 |
| 1 Year | 0.72 | -0.11 | -0.09 |
| 3 Year | 0.64 | -0.11 | -0.07 |
| 5 Year | 0.77 | -0.11 | -0.07 |
| 10 Year | 1.03 | -0.08 | -0.07 |
| 15 Year | 1.25 | -0.07 | -0.05 |