Summary: BBSW generally down; swap rates lower; swap spreads tighter.
Bank bill swap rates generally declined this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.05 | 0.03 | 0.05 |
| 3 months | 3.31 | -0.01 | 0.20 |
| 6 months | 3.75 | -0.07 | 0.21 |
Swap rates generally outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.67 | -0.19 | 0.13 |
| 3 years | 3.61 | -0.32 | 0.08 |
| 5 years | 3.84 | -0.30 | 0.15 |
| 10 years | 4.11 | -0.26 | 0.21 |
| 15 years | 4.21 | -0.26 | 0.20 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had tightened by 5bps to 42bps, the 5-year spread had lost 4bps to 52bps while the 10-year spread finished 4bps lower at 51bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.