Summary: BBSW up; swap rates decrease; swap spreads widen modestly.
Bank bill swap rates generally rose a little again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | -0.01 |
| 3 months | 4.40 | 0.01 | -0.01 |
| 6 months | 4.55 | 0.02 | -0.10 |
Swap rates decreased across the curve, slightly lagging the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.99 | -0.04 | -0.14 |
| 3 years | 3.53 | -0.04 | -0.16 |
| 5 years | 3.71 | -0.06 | -0.16 |
| 10 years | 3.99 | -0.07 | -0.12 |
| 15 years | 4.14 | -0.09 | -0.12 |
As a result, swap spreads widened modestly. By the end of the week, the 3-year spread had increased by 1bp to 3bps while 5-year and 10-year spreads had both added 2bps to 19bps and 11bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.