The physical bank bill rate gained 1bp to 1.93%, as did 3-month BBSW. 6-month BBSW increased by 2bps to 2.12%.
The swap curve steepened broadly in line with their ACGB counterparts. The 1-year rate added 3bps to 1.97%, the 3-year rate increased by 8bps to 2.17% , 5-year rates rose by 10bps to 2.52% and 10-year and 15-year rates each gained 11bps to 2.89% and 3.07% respectively.
As a result, most swap-to-bond spreads were almost unchanged. The 3-year and 5-year spreads remained unchanged at 6bps and 26bps respectively while the 10-year spread widened by 1bp to 19bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.85 | 0.01 | -0.03 |
| 90 Day | 1.93 | 0.01 | -0.03 |
| 180 Day | 2.12 | 0.02 | -0.04 |
| 1 Year | 1.97 | 0.03 | -0.03 |
| 3 Year | 2.17 | 0.08 | 0.05 |
| 5 Year | 2.52 | 0.10 | 0.09 |
| 10 Year | 2.89 | 0.11 | 0.10 |
| 15 Year | 3.07 | 0.11 | 0.11 |