The physical bank bill rate increased again and, by the end of the week, it had gained 3bps for a second consecutive week to finish at 1.03%. 3-month BBSW also gained 3bps to 1.03% while 6-month BBSW increased by 5bps to 1.11%.
Swap rates outpaced their ACGB counterparts as rates increased along the curve. The 1-year rate added 5bps to 0.96%, 3-year and 5-year rates each gained 9bps to 0.92% and 1.06% respectively while 10-year and 15-year rates each ran up by 8bps to 1.32% and 1.52% respectively.
As a result, swap spreads expanded. The 3-year spread increased from 2bps to 4bps, the 5-year spread inched up 1bp to 16bps, as did the 10-year spread, also increasing from 15bps to 16bps.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.06 | 0.00 | 0.02 |
| 90 Day | 1.03 | 0.03 | 0.06 |
| 180 Day | 1.11 | 0.05 | 0.14 |
| 1 Year | 0.96 | 0.05 | 0.15 |
| 3 Year | 0.92 | 0.09 | 0.20 |
| 5 Year | 1.06 | 0.09 | 0.21 |
| 10 Year | 1.32 | 0.08 | 0.17 |
| 15 Year | 1.52 | 0.08 | 0.14 |