The physical bank bill rate jumped from 1.55% to 1.65%, as did 3-month BBSW. 6-month BBSW increased by 7bps to 1.67%.
The swap curve largely stayed in step with its ACGB counterpart, with minimal movement at the short end and larger movements towards the long end. The 1-year rate was an exception and it increased by 4bps to 1.45% while the 3-year rate lost 2bps to 1.37%. 5-year rates shed 4bps to 1.61%, 10-year rates finished 7bps lower at 1.98% and 15-year rates lost 8bps to 2.21%.
As a result, swap-to-bond spreads tightened a tad. 3-year, 5-year and 10-year spread all slipped 1bp to 9bps, 26bps and 25bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.67 | 0.10 | -0.07 |
| 90 Day | 1.65 | 0.10 | -0.08 |
| 180 Day | 1.67 | 0.07 | -0.13 |
| 1 Year | 1.45 | 0.04 | -0.14 |
| 3 Year | 1.37 | -0.02 | -0.17 |
| 5 Year | 1.61 | -0.04 | -0.18 |
| 10 Year | 1.98 | -0.07 | -0.16 |
| 15 Year | 2.21 | -0.08 | -0.15 |