This week both the physical bank bill and 3 month BBSW rates remained steady at 1.69%.
The swap curve moved up as rates increased fairly consistently along the curve. The 1 year rate added 1bp to 1.77%, while all other long term rates added 2bps. The 3 year rate finished the week at 2.03%, the 5 year rate at 2.40%, the 10 year at 2.79% and the 15 year rate finished at 3.03%.
Swap-to-bond spreads were a little tighter; the 3 year spread lost 3bps to 5bps and both the 5 year and 10 year swap spreads slipped 1bp to 24bps and 17bps respectively.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | -0.01 |
| 90d | 1.69 | 0.00 | -0.01 |
| 180d | 1.85 | 0.01 | 0.02 |
| 1 Year | 1.77 | 0.01 | 0.00 |
| 3 Year | 2.03 | 0.02 | -0.05 |
| 5 Year | 2.40 | 0.02 | -0.07 |
| 10 Year | 2.79 | 0.02 | -0.11 |
| 15 Year | 3.02 | 0.02 | -0.12 |