Summary: BBSW down; swap rates down; swap spreads narrow.
Bank bill swap rates decreased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.11 | -0.03 | 0.00 |
| 3 months | 4.28 | -0.08 | -0.04 |
| 6 months | 4.69 | -0.09 | 0.01 |
Swap rates decreased along most of the curve and either outpaced the falls or lagged the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.40 | -0.15 | -0.18 |
| 3 years | 4.17 | -0.10 | -0.09 |
| 5 years | 4.27 | -0.06 | -0.01 |
| 10 years | 4.44 | -0.01 | 0.08 |
| 15 years | 4.53 | 0.01 | 0.10 |
Swap spreads narrowed as a result. By the end of the week, 3-year and 5-year spreads had both lost 4bps to 29bps and 40bps while 10-year spread finished 8bps lower at 37bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.