Summary: BBSW decline; swap rates down at front, up elsewhere on curve; swap spreads widen.
Bank bill swap rates generally declined this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.05 | 0.00 | -0.01 |
| 3 months | 4.13 | -0.01 | 0.00 |
| 6 months | 4.37 | -0.03 | 0.00 |
Swap rates decreased at the front of the curve but increased further out, lagging their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.27 | -0.08 | 0.06 |
| 3 years | 4.20 | -0.02 | 0.23 |
| 5 years | 4.49 | 0.07 | 0.39 |
| 10 years | 4.84 | 0.13 | 0.49 |
| 15 years | 5.00 | 0.16 | 0.53 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had gained 6bps to 20bps, the 5-year spread had increased by 10bps to 37bps while the 10-year spread finished 8bps higher at 30bps.
