Bank Bill/Swaps

4 December – 8 December 2023

Summary: BBSW decrease; swap rates fall; swap spreads tighten a touch.

Bank bill swap rates generally fell again this week.

BBSW

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 month4.300.000.11
3 months4.34-0.03-0.01
6 months4.48-0.11-0.25

Swap rates fell, slightly more than their Commonwealth Government counterparts.

SWAP RATES

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 year4.30-0.14-0.24
3 years4.07-0.19-0.41
5 years4.27-0.20-0.46
10 years4.55-0.21-0.47
15 years4.69-0.22-0.46

As a result, swap spreads tightened a touch. By the end of the week, 3-year, 5-year and 10-year spreads had all slipped 1bp to 17bps, 31bps and 25bps respectively.

NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.

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