Summary: BBSW down again; swap rates down at curve’s front and belly, up at long end; swap spreads narrow modestly.
Bank bill swap rates decreased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | -0.05 | -0.05 |
| 3 months | 4.19 | -0.09 | -0.13 |
| 6 months | 4.57 | -0.12 | -0.11 |
Swap rates decreased at the front and belly of the curve but rose at the long end, either outpacing the falls or lagging the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.33 | -0.07 | -0.25 |
| 3 years | 4.10 | -0.07 | -0.16 |
| 5 years | 4.25 | -0.02 | -0.03 |
| 10 years | 4.52 | 0.08 | 0.16 |
| 15 years | 4.66 | 0.13 | 0.23 |
Swap spreads narrowed modestly as a result. By the end of the week, the 3-year spread had lost 2bps to 23bpd, the 5-year spread had shed 7bps to 33bps while 10-year spread finished 4bps lower at 33bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.