Summary: BBSW down; swap rates fall; swap spreads widen.
Bank bill swap rates fell again this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.3 | 0 | 0 |
| 3 months | 4.37 | -0.01 | -0.09 |
| 6 months | 4.51 | -0.03 | -0.24 |
Swap rates fell by increasing amounts out along the curve but not by quite as much as their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.04 | -0.05 | -0.38 | ||||||||||
| 3 years | 3.61 | -0.07 | -0.54 | ||||||||||
| 5 years | 3.79 | -0.09 | -0.51 | ||||||||||
| 10 years | 4.05 | -0.09 | -0.43 | ||||||||||
| 15 years | 4.2 | -0.09 | -0.4 |
As a result, swap spreads widened. By the end of the week, 3-year and 5-year spread had both gained 2bps to 4bps and 19bps respectively while the 10-year spread finished 4bps wider at 12bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.