Summary: BBSW down again; swap rates down; swap spreads largely unchanged.
Bank bill swap rates decreased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.00 | -0.08 |
| 3 months | 4.14 | -0.01 | -0.22 |
| 6 months | 4.40 | -0.05 | -0.38 |
Swap rates fell across the curve and kept pace with the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.26 | -0.01 | -0.29 |
| 3 years | 4.09 | -0.03 | -0.18 |
| 5 years | 4.25 | -0.05 | -0.08 |
| 10 years | 4.50 | -0.07 | 0.05 |
| 15 years | 4.62 | -0.08 | 0.10 |
As a result, swap spreads were largely unchanged across the curve. By the end of the week, the 3-year spread had added 1bp to 24bps while 5-year and 10-year spreads both finished unchanged at 34bps.
