Summary: 3-month BBSW down 3bps, 6-month BBSW down 10bps; swap rates fall; swap spreads generally wider.
Bank bill swap rates fell again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.85 | 0.01 | 0.21 |
| 3 months | 3.03 | -0.03 | 0.15 |
| 6 months | 3.53 | -0.10 | 0.15 |
Swap rates also fell, slightly lagging the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.63 | -0.15 | 0.04 |
| 3 years | 3.82 | -0.18 | -0.04 |
| 5 years | 4.10 | -0.19 | -0.05 |
| 10 years | 4.39 | -0.16 | 0.01 |
| 15 years | 4.51 | -0.14 | 0.05 |
As a result, swap spreads generally widened a little. By the end of the week, the 3-year spread had crept up 1bp to 65bps, the 5-year spread had returned to its starting point at 76bps while the 10-year spread finished 3bps higher at 73bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.