Summary: Bank bill, BBSW rates unchanged; shorter-term swap rates decline while longer-term swap rates increase; swap spreads tighten to zero or just above.
The physical bank bill rate finished the week unchanged at 0.02%, while 3-month BBSW remained unchanged at 0.01%. 6-month BBSW remained unchanged at 0.02%.
Swap rates declined at the short end but rose moderately at the long end. By the end of the week, 1-year rate had slipped 1bps to 0.02%, the 3-year rate had lost 2bps to 0.13% while the 5-year rate returned to its starting point at 0.45%. The 10-year rate had gained 7bps to 1.20% while the 15-year rate finished 8bps higher at 1.58%.
As a result, swap spreads narrowed and moved to zero or just above. By the end of the week, the 3-year spread had shed 2bps to 2bps, the 5-year spread had lost 3bps to 2bps while the 10-year spread finished 4bps lower at zero.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | 0.00 |
| 90 Day | 0.01 | 0.00 | -0.01 |
| 180 Day | 0.02 | 0.00 | 0.00 |
| 1 Year | 0.02 | -0.01 | -0.01 |
| 3 Year | 0.12 | -0.03 | -0.03 |
| 5 Year | 0.45 | 0.00 | 0.03 |
| 10 Year | 1.20 | 0.07 | 0.12 |
| 15 Year | 1.58 | 0.08 | 0.13 |