Summary: BBSW mostly down; swap rates fall; swap spreads largely stable.
Bank bill swap rates mostly declined this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.00 | 0.00 |
| 3 months | 4.38 | -0.03 | 0.02 |
| 6 months | 4.63 | -0.04 | 0.10 |
Swap rates fell, largely in line with the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.38 | -0.06 | 0.19 |
| 3 years | 4.14 | -0.08 | 0.27 |
| 5 years | 4.30 | -0.10 | 0.25 |
| 10 years | 4.52 | -0.10 | 0.22 |
| 15 years | 4.65 | -0.10 | 0.21 |
As a result, swap spreads largely remained stable. By the end of the week, the 3-year spread had returned to its starting point at 17bps, the 5-year spread had lost 2bps to 28bps while the 10-year spread finished unchanged at 20bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.