The physical bank bill rate remained slipped 1bp to 1.73% while the 3 month BBSW dropped 2bps to 1.72%.
The swap curve steepened as rates rose across the curve. The 1 year added 3bps to 1.85%, the 3 year rates jumped 13bps to 2.20%, the 5 year rate increased by 17bps to 2.58% and both the 10 year and 15 year rates jumped by 18bps to 2.92% and 3.14% respectively.
Swap rates generally kept up with their ACGB counterparts but not entirely and swap-to-bond spreads were a little wider in aggregate. The 3 year spread was steady at 8bps, the 5 year spread widened by 4bps to 28bps and the 10 year spread added 1bp to 18bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.61 | 0.00 | 0.01 |
| 90d | 1.72 | -0.02 | 0.03 |
| 180d | 1.90 | -0.01 | 0.07 |
| 1 Year | 1.85 | 0.03 | 0.09 |
| 3 Year | 2.20 | 0.13 | 0.18 |
| 5 Year | 2.58 | 0.17 | 0.20 |
| 10 Year | 2.92 | 0.18 | 0.15 |
| 15 Year | 3.14 | 0.18 | 0.14 |