Summary: BBSW generally slip; swap rates fall; swap spreads moved a touch each way.
Bank bill swap rates generally slipped a touch this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | -0.01 | 0.01 |
| 3 months | 4.46 | 0.00 | 0.11 |
| 6 months | 4.75 | -0.01 | 0.16 |
Swap rates fell, almost in line with the falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.42 | -0.07 | 0.12 |
| 3 years | 4.15 | -0.11 | 0.11 |
| 5 years | 4.30 | -0.10 | 0.12 |
| 10 years | 4.48 | -0.07 | 0.09 |
| 15 years | 4.60 | -0.06 | 0.09 |
As a result, swap spreads moved a touch each way. By the end of the week, the 3-year spread had declined 1bp to 9bps, the 5-year spread returned to its starting point at 24bps while the 10-year spread finished 1bp wider at 16bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.