The physical bank bill rate fell 11bps to finish at 0.52%, while 3-month BBSW lost 10bps, also to 0.52%. 6-month BBSW declined just 3bps to 0.70%.
Swap rates matched their Commonwealth Government counterparts to some extent as yields at the short end fell noticeably while longer-term yields increased markedly again. The 1-year swap rate dropped by 14bps to 0.43%, the 3-year rate shed 17bps (again) to 0.50% and the 5-year rate decreased by 14bps to 0.77%. The 10-year rate jumped 16bps to 1.33% and the 15-year rate increased by 11bps to 1.40%.
As a result, swap spreads widened at the short end and tightened at the long end. By the end of the week, the 3-year spread had increased from 16bps to 22bps, the 5-year rate had widened by 6bps to 41bps while the 10-year spread narrowed from 21bps to 19bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.52 | -0.13 | -0.29 |
| 90 Day | 0.52 | -0.10 | -0.40 |
| 180 Day | 0.70 | -0.03 | -0.26 |
| 1 Year | 0.43 | -0.14 | -0.36 |
| 3 Year | 0.50 | -0.17 | -0.24 |
| 5 Year | 0.77 | -0.14 | -0.14 |
| 10 Year | 1.33 | 0.16 | 0.14 |
| 15 Year | 1.40 | 0.11 | -0.02 |