Summary: BBSW down; swap rates fall at short end, up elsewhere; swap spreads widen.
Bank bill swap rates fell again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | -0.01 | -0.01 |
| 3 months | 4.38 | -0.03 | -0.08 |
| 6 months | 4.54 | -0.11 | -0.22 |
Swap rates declined at the short end while longer-term rates increased modestly, a similar pattern to that of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.09 | -0.04 | -0.40 |
| 3 years | 3.68 | -0.01 | -0.58 |
| 5 years | 3.88 | 0.01 | -0.52 |
| 10 years | 4.14 | 0.03 | -0.41 |
| 15 years | 4.29 | 0.03 | -0.37 |
As a result, swap spreads widened a touch. By the end of the week, the 3-year spread had gained 2bps to 2bps, the 5-year spread had added 1bp to 17bps while the 10-year spread finished 2bps wider at 8bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.