The physical bank bill rate remained unchanged at 0.93% as did 3-month BBSW. 6-month BBSW increased by 2bps to 1.05%.
Swap rates lagged their ACGB counterparts as yields increased across the curve, especially at the long end. The 1-year swap rate inched up 1bp for the week to 0.89%, the 3-year rate increased by 6bps to 0.93%, the 5-year rate had increased by 11bps to 1.14% while 10-year and 15-year rates both finished 14bps higher at 1.45% and 1.66% respectively.
As a result, swap spreads contracted. The 3-year spread finished the week 3bps lower at 5bps, the 5-year spread slipped 1bp to 20bps and the 10-year spread lost 5bps to 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.89 | -0.03 | -0.01 |
| 90 Day | 0.93 | 0.00 | 0.08 |
| 180 Day | 1.05 | 0.02 | 0.09 |
| 1 Year | 0.89 | 0.01 | 0.17 |
| 3 Year | 0.93 | 0.06 | 0.29 |
| 5 Year | 1.14 | 0.11 | 0.37 |
| 10 Year | 1.45 | 0.14 | 0.42 |
| 15 Year | 1.66 | 0.14 | 0.41 |