Summary: BBSW declines; swap rates fall; swap spreads generally wider.
Bank bill swap rates declined this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | -0.01 | -0.01 |
| 3 months | 4.32 | -0.01 | -0.13 |
| 6 months | 4.40 | -0.04 | -0.20 |
Swap rates also declined, generally lagging the downward movements of their Commonwealth Government counterparts by modest amounts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 3.99 | -0.03 | -0.09 | ||||||||||
| 3 years | 3.85 | -0.04 | -0.07 | ||||||||||
| 5 years | 4.14 | -0.04 | -0.05 | ||||||||||
| 10 years | 4.44 | -0.03 | -0.03 | ||||||||||
| 15 years | 4.60 | -0.03 | -0.01 |
As a result, swap spreads mostly widened a touch. By the end of the week, 3-year and 5-year spreads had both added 1bp to -5bps and +12bps respectively. However, the 10-year spread finished 1bp lower at -4bps.
- Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.