Summary: BBSW down; swap rates fall; swap spreads widen.
Bank bill swap rates generally declined this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | 0.01 | 0.23 |
| 3 months | 4.38 | -0.03 | 0.23 |
| 6 months | 4.64 | -0.12 | 0.22 |
Swap rates fell but lagged the falls of their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.43 | -0.09 | 0.18 |
| 3 years | 4.27 | -0.12 | 0.16 |
| 5 years | 4.46 | -0.15 | 0.09 |
| 10 years | 4.75 | -0.12 | 0.04 |
| 15 years | 4.88 | -0.13 | 0.02 |
As a result, swap spreads widened. By the end of the week, 3-year spread had gained 3bps to 18bps, the 5-year spread had added 1bp to 32bps while the 10-year spread finished 4bps higher at 28bps.
