The physical bank bill rate increased a little and by the end of the week, it had gained 3bps to finish at 1.00%. 3-month BBSW also gained 3bps to 1.00% while 6-month BBSW jumped by 7bps to 1.06%.
The swap curve largely tracked its ACGB counterpart at the front and “belly” as they both moved higher.
The 1-year rate added 10bps to 0.91%, the 3-year rate increased by 12bps to 0.83%, the 5-year rate rose by 13bps to 0.97% while 10-year and 15-year rates each ran up by 14bps to 1.24% and 1.44% respectively.
As a result, swap spreads contracted. The 3-year spread fell from 4bps to 2bps, the 5-year spread lost 2bps to 15bps and the 10-year spread dropped from 21bps to 15bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.06 | 0.01 | 0.03 |
| 90 Day | 1.00 | 0.03 | -0.01 |
| 180 Day | 1.06 | 0.07 | 0.01 |
| 1 Year | 0.91 | 0.10 | 0.04 |
| 3 Year | 0.83 | 0.12 | 0.03 |
| 5 Year | 0.97 | 0.13 | 0.01 |
| 10 Year | 1.24 | 0.14 | -0.07 |
| 15 Year | 1.44 | 0.14 | -0.12 |