Summary: BBSW move a little each way; swap rates fall; swap spreads widen again.
Bank bill swap rates moved a touch each way this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | -0.01 | 0 |
| 3 months | 4.43 | 0.01 | 0.05 |
| 6 months | 4.66 | -0.01 | 0.07 |
Swap rates fell across the curve but were once again outpaced by the falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.18 | -0.07 | 0 | ||||||||||
| 3 years | 3.88 | -0.15 | -0.02 | ||||||||||
| 5 years | 4.1 | -0.18 | -0.04 | ||||||||||
| 10 years | 4.34 | -0.19 | -0.09 | ||||||||||
| 15 years | 4.48 | -0.19 | -0.11 |
As a result, swap spreads widened a little again. By the end of the week, 3-year and 5-year spreads had both added 1bps to -4bps and +12bps respectively while the 10-year spread finished 2bps higher at zero.
Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.