Summary: BBSW move lower; swap rates fall; swap spreads narrower.
Bank bill swap rates moved lower this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.59 | -0.04 | 0.06 |
| 3 months | 3.64 | -0.08 | 0.00 |
| 6 months | 3.70 | -0.09 | -0.22 |
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 | 3.49 | -0.11 | -0.45 |
| 3 years | 3.19 | -0.22 | -0.59 |
| 5 years | 3.36 | -0.23 | -0.57 |
| 10 years | 3.68 | -0.22 | -0.46 |
| 15 years | 3.82 | -0.21 | -0.43 |
As a result, swap spreads moved lower. By the end of the week, the 3-year spread had lost 11bps to 39bps while 5-year and 10-year spreads both finished 10bps lower at 47bps and 50bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.