The physical bank bill rate moved 1bp higher to 1.94% while 3-month BBSW increased by 2bps to 1.94%. 6-month BBSW slipped 1bp to 2.10%.
The swap curve moved broadly in line with its ACGB counterpart and rates tended to rise more at the front of the curve. The 1-year rate gained 3bps to 1.95%, the 3-year rate increased by 5bp to 2.17%, 5-year rates rose by 4bps to 2.54% and 10-year and 30-year rates both increased by 2bps to 2.92% and 3.11% respectively.
As a result, swap-to-bond spreads were mostly a little wider. The 3-year spread widened by 1bp to 11bps, the 5-year spread widened by 1bp to 29bps but the 10-year spread tightened by 1bp to 18bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.83 | -0.03 | -0.03 |
| 90 Day | 1.94 | 0.02 | -0.01 |
| 180 Day | 2.10 | -0.01 | -0.04 |
| 1 Year | 1.95 | 0.03 | -0.01 |
| 3 Year | 2.17 | 0.05 | 0.12 |
| 5 Year | 2.54 | 0.04 | 0.18 |
| 10 Year | 2.92 | 0.02 | 0.21 |
| 15 Year | 3.11 | 0.02 | 0.22 |