The physical bank bill rate jumped 5bps to 0.93% while 3-month and 6-month BBSW also both increased by 5bps to 0.93% and 1.03% respectively.
Swap rates slightly outpaced their ACGB counterparts as yields increased across the curve. The 1-year swap rate gained 8bps for the week to finish at 0.88%, the 3-year rate increased by 9bps to 0.87%, the 5-year rate rose by 7bps to 1.03%, the 10-year finished 6bps higher at 1.31% and the 15-year rate added 5bps to 1.52%.
As a result, swap spreads remained stable or gained a basis point or two. The 3-year spread finished the week 1bp higher at 8bps, the 5-year spread remained unchanged at 21bps while the 10-year spread gained 2bps to 21bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.92 | 0.02 | -0.10 |
| 90 Day | 0.93 | 0.05 | -0.02 |
| 180 Day | 1.03 | 0.05 | -0.03 |
| 1 Year | 0.88 | 0.08 | 0.05 |
| 3 Year | 0.87 | 0.09 | 0.12 |
| 5 Year | 1.03 | 0.07 | 0.15 |
| 10 Year | 1.31 | 0.06 | 0.20 |
| 15 Year | 1.52 | 0.05 | 0.20 |