Summary: BBSW generally move higher; swap rates fall; swap spreads wider.
Bank bill swap rates again generally moved higher this week, although the 6-month rate also fell again.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.64 | 0.03 | 0.31 |
| 3 months | 3.70 | 0.01 | 0.19 |
| 6 months | 3.78 | -0.03 | -0.09 |
Swap rates fell across the curve and outpaced the movements of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.51 | -0.09 | -0.59 |
| 3 years | 3.30 | -0.20 | -0.69 |
| 5 years | 3.52 | -0.22 | -0.63 |
| 10 years | 3.82 | -0.20 | -0.55 |
| 15 years | 3.95 | -0.18 | -0.53 |
As a result, swap spreads narrowed. By the end of the week, the 3-year spread had lost 4bps to 47bps, the 5-year spread had shed 6bps to 58bps while the 10-year spread finished 3bps lower at 60bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.