The physical bank bill rate inched up 1bp to 1.93%, as did BBSW. 6-month BBSW increased by 3bps to 2.10%.
The swap curve moved vaguely in line with its ACGB counterpart and almost precisely reversed the previous week’s falls. The 1-year rate added 2bps to 1.97%, the 3-year rate increased by 6bps to 2.16%, 5-year rates gained 8bps to 2.51% and 10-year and 30-year rates both increased by 9bps to 2.87% and 3.06% respectively.
As a result, swap-to-bond spreads were a tad tighter. The 3-year spread contracted by 1bp to 10bps, the 5-year spread added 1bps to 27bps 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 | 1.87 | 0.02 | 0.00 |
| 90 Day | 1.93 | 0.01 | -0.02 |
| 180 Day | 2.10 | 0.03 | -0.03 |
| 1 Year | 1.97 | 0.02 | 0.02 |
| 3 Year | 2.16 | 0.06 | 0.03 |
| 5 Year | 2.51 | 0.08 | 0.03 |
| 10 Year | 2.87 | 0.09 | 0.01 |
| 15 Year | 3.06 | 0.09 | 0.02 |