Summary: BBSW down again; swap rates down; swap spreads again largely unchanged.
Bank bill swap rates declined again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.00 | -0.05 |
| 3 months | 4.13 | -0.01 | -0.15 |
| 6 months | 4.37 | -0.03 | -0.32 |
Swap rates fell across the curve and generally kept pace with the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.21 | -0.05 | -0.19 |
| 3 years | 3.97 | -0.12 | -0.20 |
| 5 years | 4.10 | -0.15 | -0.17 |
| 10 years | 4.35 | -0.15 | -0.09 |
| 15 years | 4.47 | -0.15 | -0.06 |
As a result, swap spreads were again largely unchanged across the curve. By the end of the week, the 3-year spread had returned to its starting point at 24bps, the 5-year spread had slipped 1bp to 33bps while the 10-year spread finished 1bp higher at 35bps.
