Summary: BBSW generally down again; swap rates lower; swap spreads wider.
Bank bill swap rates generally declined again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.09 | 0.04 | 0.08 |
| 3 months | 3.27 | -0.04 | 0.10 |
| 6 months | 3.60 | -0.15 | -0.06 |
Swap rates generally lagged the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.54 | -0.13 | -0.05 |
| 3 years | 3.42 | -0.19 | -0.24 |
| 5 years | 3.63 | -0.21 | -0.25 |
| 10 years | 3.93 | -0.18 | -0.20 |
| 15 years | 4.07 | -0.14 | -0.16 |
As a result, swap spreads widened a little. By the end of the week, the 3-year spread had increased by 1bp to 43bps, the 5-year spread had added 2bps to 54bps while the 10-year spread finished 2bps higher at 53bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.