The physical bank bill rate moved up again after weeks and weeks of falls and, by the end of the week, it had increased by 2bps to 0.99%. 3-month BBSW also increased by 2bps to 0.99% while 6-month BBSW added 3bps to 1.00%.
The swap curve largely tracked its ACGB counterpart as they both moved higher. The 1-year rate increased by 6bps to 0.86%, 3-year rates added 4bps to 0.75%, the 5-year rate increased by 6bps to 0.88%, the 10-year rate gained 9bps to 1.15% and 15-year rates rose by 10bps to 1.36%.
As a result, swap spreads barely changed. 3-year and 10-year spreads each remained unchanged at 4bps and 18bps respectively while the 5-year spread widened 1bp to 17bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.05 | 0.00 | -0.08 |
| 90 Day | 0.99 | 0.02 | -0.13 |
| 180 Day | 1.00 | 0.03 | -0.18 |
| 1 Year | 0.86 | 0.06 | -0.18 |
| 3 Year | 0.75 | 0.04 | -0.27 |
| 5 Year | 0.88 | 0.06 | -0.33 |
| 10 Year | 1.15 | 0.09 | -0.43 |
| 15 Year | 1.36 | 0.10 | -0.47 |