Summary: Bank bill and BBSW rates down a touch; swap rates rise noticeably at long end; spreads to ACGB yields a little lower, even more negative.
The physical bank bill rate slipped 1bp to 0.09%, as did 3-month BBSW. 6-month BBSW also slipped 1bp to finish at 0.15%.
Swap rates remained fairly stable at the front and “belly” of the curve but rose noticeably at the long end. By the end of the week, 1-year and 3-year rates had both slipped 1bp to 0.11% and 0.19% respectively, the 5-year rate had ticked up 1bp to 0.38%, the 10-year rate had increased by 11bps to 0.90% while the 15-year rate finished 15bps higher at 1.18%.
As a result, swap spreads decreased again, becoming even more negative. By the end of the week, the 3-year spread had shed 2bps to -8bps, the 5-year spread had lost 2bps to -4bps while the 10-year spread finished 3bps lower at -12bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.10 | 0.01 | 0.01 |
| 90 Day | 0.09 | -0.01 | -0.01 |
| 180 Day | 0.15 | -0.01 | -0.03 |
| 1 Year | 0.11 | -0.01 | -0.03 |
| 3 Year | 0.19 | -0.01 | -0.02 |
| 5 Year | 0.38 | 0.01 | 0.01 |
| 10 Year | 0.90 | 0.11 | 0.11 |
| 15 Year | 1.18 | 0.15 | 0.16 |