Summary: BBSW generally increases modestly; swap rates fall substantially; swap spreads narrow considerably.
Bank bill swap rates generally increased modestly this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.88 | 0.03 | 0.21 |
| 3 months | 3.05 | 0.02 | 0.13 |
| 6 months | 3.53 | 0.00 | 0.11 |
Swap rates fell substantially, outpacing the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.59 | -0.04 | -0.06 |
| 3 years | 3.70 | -0.12 | -0.26 |
| 5 years | 3.92 | -0.18 | -0.35 |
| 10 years | 4.20 | -0.19 | -0.30 |
| 15 years | 4.33 | -0.18 | -0.26 |
As a result, swap spreads narrowed considerably. By the end of the week, the 3-year spread had fallen by 16bps to 49bps, the 5-year spread had lost 20bps to 56bps while the 10-year spread finished 15bps lower at 58bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.