Summary: BBSW generally unchanged; swap rates fall; swap spreads widen a touch.
Bank bill swap rates, with the exception of the 6-month rate, again remained unchanged this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | -0.01 |
| 3 months | 4.34 | 0.00 | -0.01 |
| 6 months | 4.48 | 0.01 | 0.02 |
Swap rates fell but lagged the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.21 | -0.02 | -0.01 |
| 3 years | 3.92 | -0.06 | 0 |
| 5 years | 4.11 | -0.07 | -0.03 |
| 10 years | 4.38 | -0.06 | -0.05 |
| 15 years | 4.52 | -0.06 | -0.06 |
As a result, swap spreads widened a touch. By the end of the week, 3-year and 5-year spreads had both added 1bp to 20bps and 35bps respectively while the 10-year spreads both finished unchanged at 24bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.