Summary: BBSW down; swap rates fall; swap spreads narrow modestly.
Bank bill swap rates decreased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.19 | 0.03 | 0.17 |
| 3 months | 3.34 | -0.04 | 0.08 |
| 6 months | 3.64 | -0.10 | -0.13 |
Swap rates slightly outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.61 | -0.13 | -0.24 |
| 3 years | 3.40 | -0.22 | -0.57 |
| 5 years | 3.60 | -0.22 | -0.63 |
| 10 years | 3.91 | -0.19 | -0.62 |
| 15 years | 4.05 | -0.18 | -0.56 |
As a result, swap spreads narrowed modestly. By the end of the week, the 3-year, 5-year and 10-year spreads each shed 2bps to 41bps, 51bps and 52bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.