This week both the physical bank bill and 3 month BBSW rates kicked up 2bps to 1.71%.
All swap rates increased this week but in a somewhat unconventional sense. The 1 year rate added 2bps to 1.79%, 3 year and 5 year rates added 4bps to 2.07% and 2.44% respectively and 10 year and 15 year rates increased by 2bps to 2.81% and 3.04% respectively.
Swap-to-bond spreads also generally increased. The 3 year spread increased by 2bps to 7bps, the 5 year spread added 1bp to 25bps and the 10 year spread remained steady at 17bps.
AFMA BBSW - SWAP RATES
| MATURITY | Close | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30d | 1.60 | 0.00 | -0.01 |
| 90d | 1.71 | 0.01 | 0.01 |
| 180d | 1.88 | 0.03 | 0.05 |
| 1 Year | 1.79 | 0.02 | 0.00 |
| 3 Year | 2.07 | 0.04 | -0.01 |
| 5 Year | 2.44 | 0.04 | -0.03 |
| 10 Year | 2.81 | 0.02 | -0.06 |
| 15 Year | 3.04 | 0.02 | -0.06 |