Summary: Bank bill and BBSW rates unchanged; swap rates fall by increasing amounts along curve; short-to-medium term swap spreads to ACGB yields a little lower, longer-term spreads higher; spreads still negative.
The physical bank bill rate remained unchanged at 0.09%, as did 3-month BBSW. 6-month BBSW remained unchanged at 0.15%.
Swap rates fell by increasing amounts along the curve. By the end of the week, the 1-year rate had slipped 1bp to 0.10%, the 3-year rate had lost 2bps to 0.17%, the 5-year rate had decreased by 4bps to 0.34%, the 10-year rate had shed 9bps to 0.81% while the 15-year rate finished 10bps lower at 1.08%.
As a result, short-to-medium term swap spreads decreased a little while longer terms spreads increased. By the end of the week, 3-year and 5-year spreads had each slipped 1bp to -9bps and -5bps respectively while the 10-year spread finished 4bps higher at -8bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.09 | -0.01 | 0.00 |
| 90 Day | 0.09 | 0.00 | -0.01 |
| 180 Day | 0.15 | 0.00 | -0.03 |
| 1 Year | 0.10 | -0.01 | -0.03 |
| 3 Year | 0.17 | -0.02 | -0.03 |
| 5 Year | 0.34 | -0.04 | -0.02 |
| 10 Year | 0.81 | -0.09 | 0.06 |
| 15 Year | 1.08 | -0.10 | 0.09 |