Summary: bank bill and BBSW rates tick up; swap rates lower; spreads to ACGB yields tighter except at the long end.
The physical bank bill rate ticked up 1bp to 0.11%, as did 3-month BBSW. 6-month BBSW remained unchanged at 0.17%.
Swap rates fell along the curve in a generally similar manner to their Commonwealth Government counterparts. By the end of the week, the 1-year rate had lost 2bps to 0.15%, 3-year and 5-year rates had each shed 3bps to 0.24% and 0.44% respectively, the 10-year rate had decreased by 2bps to 0.87% while the 15-year rate finished 1bp lower at 1.10%.
As a result, swap spreads were tightened except at the long end. By the end of the week, the 3-year spread had tightened by 2bps to -1bp, the 5-year rate had tightened by 4bps to +6bps while the 10-year spread finished 3bps wider at +1bp.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.09 | 0.00 | 0.00 |
| 90 Day | 0.11 | 0.01 | 0.01 |
| 180 Day | 0.17 | 0.00 | 0.02 |
| 1 Year | 0.15 | -0.02 | 0.03 |
| 3 Year | 0.24 | -0.03 | 0.04 |
| 5 Year | 0.44 | -0.03 | 0.03 |
| 10 Year | 0.87 | -0.02 | -0.01 |
| 15 Year | 1.10 | -0.01 | 0.02 |