The physical bank bill rate moved 3bps higher to 2.02% as did 3-month BBSW. 6-month BBSW increased by 4bps to 2.18%.
The swap curve moved higher, by and large in line with its ACGB counterpart. The 1-year rate gained 4bps to 1.97%, the 3-year rate increased by 5bps to 2.04%, 5-year and 10-year rates both added 3bps each to 2.34% and 2.67% respectively and the 15-year rate rose by 2bps to 2.84%.
As a result, swap-to-bond spreads effectively contracted at the short end but widened elsewhere. The 3-year spread shed 2bps to 6bps while the 5-year and 10-year spreads each widened by 1bp to 28bps and 21bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.91 | 0.01 | 0.04 |
| 90 Day | 2.02 | 0.03 | 0.08 |
| 180 Day | 2.18 | 0.04 | 0.07 |
| 1 Year | 1.97 | 0.04 | -0.01 |
| 3 Year | 2.04 | 0.05 | -0.18 |
| 5 Year | 2.34 | 0.03 | -0.24 |
| 10 Year | 2.67 | 0.03 | -0.28 |
| 15 Year | 2.84 | 0.02 | -0.30 |