Summary: BBSW declines; swap rates fall; swap spreads widen.
Bank bill swap rates declined this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | -0.01 | -0.01 |
| 3 months | 4.32 | -0.03 | -0.04 |
| 6 months | 4.41 | -0.05 | -0.04 |
Swap rates lagged the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.09 | -0.13 | -0.04 |
| 3 years | 3.73 | -0.19 | -0.03 |
| 5 years | 3.92 | -0.22 | 0.01 |
| 10 years | 4.23 | -0.20 | 0.07 |
| 15 years | 4.38 | -0.20 | 0.08 |
As a result, swap spreads widened. By the end of the week the 3-year spread had gained 6bps to 17bps, the 5-year spread had added 3bps to 32bps while the 10-year spread finished 6bps higher at 25bps.
