The physical bank bill rate fell by 4bps for a second consecutive week, this time to 1.73%, as did 3-month BBSW. 6-month BBSW lost 4bps to 1.80%.
The swap curve increased largely in line with its ACGB counterpart. The 1-year rate inched up 1bp to 1.59%, 3-year rates gained 6bps to 1.54%, the 5-year rate increased by 9bps to 1.79% while 10-year and 15-year rates both jumped by 12bps to 2.14% and 2.36% respectively.
As a result, swap-to-bond spreads remained unchanged. 3-year, 5-year and 10-year spreads all remained at 9bps, 26bps and 24bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.74 | -0.06 | -0.11 |
| 90 Day | 1.73 | -0.04 | -0.15 |
| 180 Day | 1.80 | -0.04 | -0.20 |
| 1 Year | 1.59 | 0.01 | -0.17 |
| 3 Year | 1.54 | 0.06 | -0.14 |
| 5 Year | 1.79 | 0.09 | -0.14 |
| 10 Year | 2.14 | 0.12 | -0.11 |
| 15 Year | 2.36 | 0.12 | -0.10 |