Summary: BBSW down; swap rates fall; swap spreads largely stable.
Bank bill swap rates declined again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | -0.02 | -0.01 |
| 3 months | 4.35 | -0.03 | 0.01 |
| 6 months | 4.59 | -0.04 | 0.03 |
Swap rates also fell again, almost in line with the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.28 | -0.10 | 0.03 |
| 3 years | 4.03 | -0.11 | 0.03 |
| 5 years | 4.18 | -0.12 | -0.01 |
| 10 years | 4.41 | -0.11 | -0.02 |
| 15 years | 4.54 | -0.11 | -0.02 |
As a result, swap spreads largely remained stable again. By the end of the week, the 3-year spread had widened by 1bp to 18bps while 5-year and 10-year spreads both returned to their respective starting points at 28bps and 20bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.