Summary: BBSW generally down; swap rates falls; swap spreads tighter.
Bank bill swap rates generally decreased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.95 | 0.02 | 0.11 |
| 3 months | 3.06 | -0.05 | -0.02 |
| 6 months | 3.49 | -0.10 | -0.12 |
Swap rates also fell but outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.46 | -0.23 | -0.33 |
| 3 years | 3.54 | -0.27 | -0.39 |
| 5 years | 3.73 | -0.25 | -0.47 |
| 10 years | 3.95 | -0.24 | -0.51 |
| 15 years | 4.06 | -0.22 | -0.50 |
As a result, swap spreads tightened moderately. By the end of the week, the 3-year spread had lost 3bps to 51bps, the 5-year spread had shed 2bps to 59bps while the 10-year spread finished 5bps lower at 56bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.