Summary: BBSW move a little each way; swap rates fall; swap spreads widen again.
Bank bill swap rates moved a touch each way again this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.09 | -0.09 | -0.15 | ||||||||||
| 3 years | 3.8 | -0.08 | -0.21 | ||||||||||
| 5 years | 4.02 | -0.08 | -0.25 | ||||||||||
| 10 years | 4.26 | -0.08 | -0.27 | ||||||||||
| 15 years | 4.4 | -0.08 | -0.27 |
Swap rates fell across the curve but were once again outpaced by the falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.32 | 0.01 | 0.01 |
| 3 months | 4.43 | 0 | 0.02 |
| 6 months | 4.65 | -0.01 | 0 |
As a result, swap spreads widened a little again. By the end of the week, the 3-year spread had gained 3bps to -1bp, the 5-year spread had added 3bps to +15bps while the 10-year spread finished 4bps higher at +4bps.
Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.