Summary: BBSW mostly stable; swap rates fall; swap spreads narrow modestly.
Bank bill swap rates mostly remained stable this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.00 | 0.01 |
| 3 months | 4.41 | 0.00 | 0.07 |
| 6 months | 4.67 | -0.04 | 0.17 |
Swap rates fell, only slightly lagging the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.44 | -0.05 | 0.27 |
| 3 years | 4.22 | -0.10 | 0.42 |
| 5 years | 4.40 | -0.11 | 0.44 |
| 10 years | 4.62 | -0.11 | 0.42 |
| 15 years | 4.75 | -0.09 | 0.42 |
As a result, swap spreads narrowed modestly. By the end of the week, 3-year, 5-year and 10-year spreads had all slipped 1bp to 17bps, 30bps and 20bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.