Summary: BBSW declines; swap rates fall; swap spreads generally wider.
Bank bill swap rates declined this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.273 | -0.037 | -0.01 |
| 3 months | 4.31 | -0.01 | -0.13 |
| 6 months | 4.33 | -0.07 | -0.2 |
Swap rates also declined, generally lagging the downward movements of their Commonwealth Government counterparts by modest amounts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.961 | -0.074 | -0.094 |
| 3 years | 3.811 | -0.09 | -0.032 |
| 5 years | 3.944 | -0.073 | -0.006 |
| 10 years | 4.433 | -0.051 | 0.066 |
| 15 years | 4.644 | -0.042 | 0.074 |
As a result, swap spreads mostly widened a touch. By the end of the week, 3-year and 5-year spreads had both added 1bp to -5bps and +12bps respectively. However, the 10-year spread finished 1bp lower at -4bps.
- Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.