Summary: Bank bill and BBSW rates unchanged; swap rates generally a little lower; spreads to ACGB yields tighter.
The physical bank bill rate remained unchanged at 0.10%, as did 3-month BBSW. 6-month BBSW also remained unchanged at 0.16%.
Swap rates generally fell a little along the curve. By the end of the week, 1-year and 3-year rates had each slipped 1bp lower to 0.14% and 0.23% respectively, the 5-year rate had lost 2bps to 0.41%, the 10-year rate had slipped 1bp lower to 0.85% while the 15-year rate went in the opposite direction and ticked up 1bp to 1.09%.
As a result, swap spreads were “tightened” in the sense they approached zero or became more negative. By the end of the week, the 3-year spread had decreased from -1bp to -3bps, the 5-year rate had tightened by 4bps to +1bp while the 10-year spread went 5bps more into the red at -6bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.09 | 0.00 | 0.00 |
| 90 Day | 0.10 | 0.00 | 0.00 |
| 180 Day | 0.16 | 0.00 | -0.01 |
| 1 Year | 0.14 | -0.01 | -0.03 |
| 3 Year | 0.23 | -0.01 | -0.04 |
| 5 Year | 0.41 | -0.02 | -0.05 |
| 10 Year | 0.85 | -0.01 | -0.03 |
| 15 Year | 1.09 | 0.01 | 0.01 |