22 January – 26 January 2024

Summary: BBSW barely moves; swap rates fall; swap spreads tighten.

Bank bill swap rates barely moved this week.

BBSW

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 month4.310.000.01
3 months4.350.01-0.02
6 months4.460.000.00

Swap rates slightly outpaced the falls of their Commonwealth Government counterparts.

SWAP RATES

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 year4.22-0.040.05
3 years3.92-0.090.12
5 years4.14-0.080.16
10 years4.43-0.070.22
15 years4.58-0.070.23

As a result, swap spreads tightened. By the end of the week the 3-year spread had lost 4bps to 11bps while 5-year and 10-year spreads both finished 1bp lower at 29bps and 19bps.

NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.