Summary: Bank bill and BBSW rates unchanged; swap rates fall, especially at long end; spreads to ACGB yields “tighter”.
The physical bank bill rate remained unchanged at 0.10%, as did 3-month BBSW. 6-month BBSW increased by 1bp to 0.17%.
Swap rates fell by increasing amounts along the curve. By the end of the week, the 1-year rate had lost 2bps to 0.12%, the 3-year rate had shed 4bps to 0.19%, the 5-year rate had decreased by 5bps to 0.36%, the 10-year rate had dropped by 8bps to 0.77% while the 15-year rate finished 9bps lower at 1.00%.
As a result, swap spreads were “tightened” in the sense they went into negative territory or became more negative. By the end of the week, the 3-year spread had decreased from -3bps to -6bps, the 5-year rate had tightened by 5bps to -4bps while the 10-year spread went 3bps further into the red at -9bps.
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 | 0.17 | 0.01 | 0.00 |
| 1 Year | 0.12 | -0.02 | -0.06 |
| 3 Year | 0.19 | -0.04 | -0.10 |
| 5 Year | 0.36 | -0.05 | -0.18 |
| 10 Year | 0.77 | -0.08 | -0.30 |
| 15 Year | 1.00 | -0.09 | -0.32 |