The physical bank bill moved lower again and, by the end of the week, it had fallen 4bps to 0.96%. 3-month BBSW also fell 4bps to 0.97% and 6-month BBSW joined it after it fell by 8bps.
The swap curve outpaced its ACGB counterpart as they both moved lower. The 1-year rate fell 6bps to 0.81%, 3-year rates lost 8bps to 0.82%, the 5-year rate dropped by 11bps to 0.85%, 10-year rates decreased by 16bps to 1.15% and 15-year rates shed 18bps to 1.38%.
As a result, swap spreads contracted by a couple of basis points along the curve. The 3-year spread tightened by 1bp to 5bps while 5-year and 10-year spreads both tightened by 2bps each to 17bps and 20bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.04 | 0.01 | -0.09 |
| 90 Day | 0.97 | -0.04 | -0.16 |
| 180 Day | 0.97 | -0.08 | -0.20 |
| 1 Year | 0.81 | -0.06 | -0.22 |
| 3 Year | 0.72 | -0.08 | -0.28 |
| 5 Year | 0.85 | -0.11 | -0.32 |
| 10 Year | 1.15 | -0.16 | -0.35 |
| 15 Year | 1.38 | -0.18 | -0.37 |