The physical bank bill rate lost 1bp to 1.92%, as did 3-month BBSW. 6-month BBSW lost 2bps to 2.10%.
The swap curve steepened as rates increased across the curve in a manner not particularly related to movements of their ACGB counterparts. The 1-year rate gained 1bps to 1.94%, while 3-year, 5-year, 10-year and 15-year rates all increased by 4bps to 2.09%, 2.42%, 2.78% and 2.96% respectively.
As a result, most swap-to-bond spreads were unchanged. The 3-year spread tightened by 1bps to 6bps, the 5-year spread widened by 1bp to 26bps and the 10-year spread tightened by 1bp to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.84 | -0.01 | -0.04 |
| 90 Day | 1.92 | -0.01 | -0.05 |
| 180 Day | 2.10 | -0.02 | -0.05 |
| 1 Year | 1.94 | 0.01 | -0.09 |
| 3 Year | 2.09 | 0.04 | -0.10 |
| 5 Year | 2.42 | 0.04 | -0.11 |
| 10 Year | 2.78 | 0.04 | -0.11 |
| 15 Year | 2.96 | 0.04 | -0.09 |