Summary: BBSW down; swap rates down; swap spreads narrow.
Bank bill swap rates generally decreased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.10 | 0.02 | 0.04 |
| 3 months | 4.29 | -0.01 | 0.08 |
| 6 months | 4.65 | -0.07 | 0.16 |
Swap rates decreased all along the curve and outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.48 | -0.23 | 0.04 |
| 3 years | 4.21 | -0.37 | 0.09 |
| 5 years | 4.27 | -0.37 | 0.09 |
| 10 years | 4.40 | -0.31 | 0.02 |
| 15 years | 4.49 | -0.27 | -0.01 |
Swap spreads narrowed as a result. By the end of the week, 3-year, 5-year and 10-year spreads had all lost 5bps to 28bps, 40bps and 41bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.