The physical bank bill rate remained unchanged at 0.84% after a heavy fall in the previous week. 3-month BBSW slipped 1bp to 0.84% while 6-month BBSW lost 2bps to 0.94%.
Swap rates largely kept pace with their ACGB counterparts as yields increased. The 1-year swap rate added 2bps for the week to finish at 0.74%, the 3-year rate increased by 8bps to 0.72%, the 5-year rate gained 11bps to 0.88%, the 10-year rate rose by 13bps to 1.16% and the 15-year rate finished 12bps higher at 1.37%.
As a result, swap spreads barely changed. The 3-year spread finished the week unchanged at 4bps, the 5-year spread crept up 1bp to 17bps and the 10-year spread finished unchanged at 14bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.90 | 0.00 | -0.16 |
| 90 Day | 0.84 | -0.01 | -0.16 |
| 180 Day | 0.94 | -0.02 | -0.12 |
| 1 Year | 0.74 | 0.02 | -0.17 |
| 3 Year | 0.72 | 0.08 | -0.11 |
| 5 Year | 0.88 | 0.11 | -0.09 |
| 10 Year | 1.16 | 0.13 | -0.08 |
| 15 Year | 1.37 | 0.12 | -0.07 |