Summary: BBSW declines; swap rates fall; swap spreads generally wider.
Bank bill swap rates declined this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.225 | -0.048 | -0.095 |
| 3 months | 4.21 | -0.100 | -0.140 |
| 6 months | 4.2711 | -0.059 | -0.159 |
Swap rates also declined, generally lagging the downward movements of their Commonwealth Government counterparts by modest amounts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 3.961 | -0.074 | -0.094 | ||||||||||
| 3 years | 3.811 | -0.09 | -0.032 | ||||||||||
| 5 years | 3.944 | -0.073 | -0.006 | ||||||||||
| 10 years | 4.433 | -0.051 | 0.066 | ||||||||||
| 15 years | 4.644 | -0.042 | 0.074 |
As a result, swap spreads mostly widened a touch. By the end of the week, 3-year and 5-year spreads had both added 1bp to -5bps and +12bps respectively. However, the 10-year spread finished 1bp lower at -4bps.
- Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.