Summary: Bank bill and BBSW rates almost unchanged; swap rates rise by modest amounts along curve; short-to-medium term swap spreads to ACGB yields a little less negative.
The physical bank bill rate remained unchanged at 0.09%, as did 3-month BBSW. 6-month BBSW slipped 1bp to 0.13%.
Swap rates increased by modest but decreasing amounts along the yield curve. By the end of the week, the 1-year rate had shed 2bp to 0.09% while 3-year, 5-year and 10-year rates each slipped 1bp to 0.16%, 0.33% and 0.81% respectively. The 15-year rate remained unchanged at 1.10%.
As a result, swap spreads became a tad less negative. By the end of the week, 3-year, 5-year and 10-year spreads had all inched up 1bp to -7bps, -3bps and -8bps respectively.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.09 | 0.00 | 0.00 |
| 90 Day | 0.09 | 0.00 | -0.01 |
| 180 Day | 0.13 | -0.01 | -0.03 |
| 1 Year | 0.09 | -0.02 | -0.04 |
| 3 Year | 0.16 | -0.01 | -0.06 |
| 5 Year | 0.33 | -0.01 | -0.07 |
| 10 Year | 0.81 | -0.01 | -0.04 |
| 15 Year | 1.10 | 0.00 | 0.00 |