The physical bank bill rate slipped 1bp to 0.09% while 3-month and 6-month BBSW remained unchanged at 0.10% and 0.17% respectively.
Swap rates fell along the curve while their Commonwealth Government counterparts increased at the long end. The 1-year rate shed another 3bps over the week to 0.13%, the 3-year rate lost 6bps to 0.22%, the 5-year rate decreased by 9bps to 0.40%, 10-year rates lost 6bps to 0.84% and the 15-year rate finished 5bps lower at 1.04%.
As a result, swap spreads tightened and actually went negative in some cases. By the end of the week, the 3-year spread had tightened from 4bps to -1bp, the 5-year rate had narrowed from 8bps to 2bps and the 10-year spread finished 8bps lower at -5bps.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.10 | 0.00 | -0.15 |
| 90 Day | 0.10 | 0.00 | -0.16 |
| 180 Day | 0.17 | 0.00 | -0.24 |
| 1 Year | 0.13 | -0.03 | -0.15 |
| 3 Year | 0.22 | -0.06 | -0.12 |
| 5 Year | 0.40 | -0.09 | -0.12 |
| 10 Year | 0.84 | -0.06 | -0.03 |
| 15 Year | 1.04 | -0.05 | 0.06 |