The physical bank bill rate fell 9bps to finish at 0.43%, while 3-month BBSW lost 9bps, also to 0.43%. 6-month BBSW shed 10bps to 0.60%.
Swap rates outpaced their Commonwealth Government counterparts as yields fell across the curve. The 1-year swap rate decreased by 6bps to 0.37%, the 3-year rate dropped by 11bps to 0.39%, the 5-year rate decreased by 13bps to 0.64%, the 10-year rate plunged by 27bps to 1.06% and the 15-year rate shed 20bps to 1.20%.
As a result, swap spreads tightened considerably, especially towards the short end. By the end of the week, the 3-year spread had decreased from 22bps to 13bps, the 5-year rate had narrowed by 14bps to 27bps while the 10-year spread finished 5bps lower at 14bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.42 | -0.10 | -0.39 |
| 90 Day | 0.43 | -0.09 | -0.46 |
| 180 Day | 0.60 | -0.10 | -0.31 |
| 1 Year | 0.37 | -0.06 | -0.34 |
| 3 Year | 0.39 | -0.11 | -0.27 |
| 5 Year | 0.64 | -0.13 | -0.15 |
| 10 Year | 1.06 | -0.27 | -0.01 |
| 15 Year | 1.20 | -0.20 | -0.09 |