Summary: BBSW mostly unchanged; swap rates fall; swap spreads narrow.
Bank bill swap rates were mostly unchanged this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | 0.00 | -0.02 |
| 3 months | 4.35 | 0.00 | -0.06 |
| 6 months | 4.59 | -0.01 | -0.08 |
Swap rates fell, slightly outpacing their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.30 | -0.09 | -0.14 |
| 3 years | 4.04 | -0.17 | -0.18 |
| 5 years | 4.18 | -0.19 | -0.22 |
| 10 years | 4.39 | -0.20 | -0.23 |
| 15 years | 4.51 | -0.21 | -0.24 |
As a result, swap spreads narrowed a little. By the end of the week, the 3-year spread had lost 2bps to 14bps, the 5-year spread had shed 3bps to 24bps while the 10-year spread finished 1bp tighter at 17bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.