Summary: BBSW mostly unchanged; swap rates fall; swap spreads mostly unchanged.
Bank bill swap rates were mostly unchanged again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | 0.00 | -0.02 |
| 3 months | 4.37 | 0.02 | -0.01 |
| 6 months | 4.59 | 0.00 | -0.04 |
Swap rates fell again, largely in line with their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.25 | -0.05 | -0.13 |
| 3 years | 3.95 | -0.09 | -0.19 |
| 5 years | 4.09 | -0.09 | -0.21 |
| 10 years | 4.28 | -0.11 | -0.24 |
| 15 years | 4.41 | -0.10 | -0.24 |
As a result, swap spreads mostly remained unchanged. By the end of the week, the 3-year spread had returned to its starting point at 14bps, the 5-year spread likewise returned to 24bps while the 10-year spread finished 1bp tighter at 16bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.