The physical bank bill rate recovered 6bps of the previous week’s 23bps drop to finish at 0.63%, while 3-month BBSW increased by 7bps to 0.62%. 6-month BBSW gained 14bps to 0.73%.
Swap rates largely matched their Commonwealth Government counterparts as yields of all sorts increased markedly. The 1-year swap rate increased by 8bps to 0.57%, the 3-year rate added 17bps to 0.67%, 5-year and 10-year rates each jumped by 28bps to 0.91% and 1.17% respectively while the 15-year rate increased by 19bps to 1.29%.
As a result, swap spreads widened a little in general but noticeably so in one tenor. By the end of the week, the 3-year spread had ticked up from 15bps to 16bps, the 5-year rate had widened by 11bps to 35bps while the 10-year spread remained unchanged at 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.65 | 0.07 | -0.17 |
| 90 Day | 0.62 | 0.07 | -0.30 |
| 180 Day | 0.73 | 0.14 | -0.25 |
| 1 Year | 0.57 | 0.08 | -0.20 |
| 3 Year | 0.67 | 0.17 | -0.07 |
| 5 Year | 0.91 | 0.28 | 0.00 |
| 10 Year | 1.17 | 0.28 | -0.03 |
| 15 Year | 1.29 | 0.19 | -0.13 |