Summary: BBSW down; swap rates fall substantially; swap spreads tighten.
Bank bill swap rates fell significantly this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | -0.02 | 0.01 |
| 3 months | 4.41 | -0.08 | -0.04 |
| 6 months | 4.65 | -0.13 | -0.09 |
Swap rates also fell substantially and a bit harder than the falls their respective Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.13 | -0.25 | -0.34 |
| 3 years | 3.69 | -0.35 | -0.53 |
| 5 years | 3.87 | -0.33 | -0.47 |
| 10 years | 4.11 | -0.30 | -0.38 |
| 15 years | 4.26 | -0.29 | -0.34 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 5bps to zero while 5-year and 10-year spreads both finished 4bps tighter at 16bps and 6bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.