The physical bank bill rate remained unchanged at 2.06% as did 3-month BBSW. 6-month BBSW was steady at 2.18%.
The swap curve moved higher, unlike its ACGB counterpart, while generally maintaining its shape. The 1-year rate gained 2bps to 1.97%, the 3-year rate increased by 3bps to 1.95%, while 5-year, 10-year and 15-year rates each increased by 2bps to 2.23%, 2.58% and 2.77% respectively.
As a result, swap-to-bond spreads widened along the curve with the exception of the 5-year spread which tightened from 33bps to 26bps. (This looks somewhat out of place; 5 year ACGB yields apparently increased by 9bps while other tenors were almost unchanged.) The 3-year spread gained 4bps to 15bps while the 10-year spread added 1bp to 26bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 2.01 | 0.00 | -0.04 |
| 90 Day | 2.06 | 0.00 | -0.03 |
| 180 Day | 2.18 | 0.00 | -0.04 |
| 1 Year | 1.97 | 0.02 | 0.00 |
| 3 Year | 1.95 | 0.03 | 0.00 |
| 5 Year | 2.23 | 0.02 | -0.02 |
| 10 Year | 2.58 | 0.02 | -0.01 |
| 15 Year | 2.77 | 0.02 | 0.00 |