Summary: BBSW down; swap rates fall; swap spreads tighten slightly.
Bank bill swap rates fell again this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.3 | 0 | -0.01 |
| 3 months | 4.35 | -0.02 | -0.12 |
| 6 months | 4.48 | -0.03 | -0.26 |
Swap rates fell almost-uniformly across the curve, slightly outpacing the modest falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.01 | -0.03 | -0.38 |
| 3 years | 3.58 | -0.03 | -0.46 |
| 5 years | 3.76 | -0.03 | -0.43 |
| 10 years | 4.03 | -0.02 | -0.35 |
| 15 years | 4.18 | -0.02 | -0.33 |
As a result, swap spreads tightened a touch. By the end of the week, the 3-year spread had narrowed by 1bp to 3bps, the 5-year spread had lost 2bps to 17bps while the 10-year spread finished 1bp tighter at 11bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.