Summary: BBSW down again; swap rates down; swap spreads generally steady.
Bank bill swap rates decreased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.00 | -0.02 |
| 3 months | 4.17 | -0.02 | -0.13 |
| 6 months | 4.50 | -0.07 | -0.22 |
Swap rates fell across the curve, almost keeping pace with the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.29 | -0.04 | -0.42 |
| 3 years | 4.06 | -0.04 | -0.52 |
| 5 years | 4.20 | -0.05 | -0.44 |
| 10 years | 4.45 | -0.07 | -0.26 |
| 15 years | 4.58 | -0.08 | -0.18 |
Swap spreads either remained steady or widened a touch as a result. By the end of the week, the 3-year spread had added 1bp to 24bps and while 5-year and 10-year spreads both finished unchanged at 33bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.