Summary: Bank bill, BBSW rates mostly unchanged; some swap rates lower at long end; swap spreads to ACGB yields still close to zero.
The physical bank bill rate finished the week unchanged at 0.02%, while 3-month BBSW slipped 1bp to 0.01%. 6-month BBSW remained unchanged at 0.02%.
Swap rates slipped a little at the long end, lagging the modest falls of their Commonwealth Government counterparts. By the end of the week, 1-year rate, 3-year and 5-year rates had returned to their starting points at 0.03%, 0.15% and 0.42% respectively while 10-year and 15-year rates finished 1bp lower at 1.07% and 1.44% respectively.
As a result, swap spreads moved haphazardly while remaining not far from zero. By the end of the week, the 3-year spread remained unchanged at +5bps, the 5-year spread had lost 4bps to 1bp while the 10-year spread finished 4bps higher at +3bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | -0.01 |
| 90 Day | 0.01 | -0.01 | -0.01 |
| 180 Day | 0.02 | 0.00 | 0.00 |
| 1 Year | 0.03 | 0.00 | -0.01 |
| 3 Year | 0.15 | 0.00 | -0.01 |
| 5 Year | 0.42 | 0.00 | 0.04 |
| 10 Year | 1.07 | -0.01 | 0.10 |
| 15 Year | 1.44 | -0.01 | 0.12 |