Summary: BBSW down a little; swap rates fall; swap spreads wider.
Bank bill swap rates generally moved a little lower this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.01 | 0.00 |
| 3 months | 4.34 | -0.01 | 0.00 |
| 6 months | 4.50 | -0.02 | 0.03 |
Swap rates also fell but slightly lagged the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.17 | 0.00 | -0.06 |
| 3 years | 3.80 | -0.04 | -0.18 |
| 5 years | 3.96 | -0.05 | -0.22 |
| 10 years | 4.20 | -0.06 | -0.24 |
| 15 years | 4.33 | -0.07 | -0.25 |
As a result, swap spreads widened a little. By the end of the week, 3-year and 5-year spreads had both gained 2bps to 18bps and 34bps respectively while the 10-year spread finished 1bp wider at 23bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.