Summary: BBSW steady/down a touch; swap rates rise; swap spreads generally tighten.
Bank bill swap rates were either steady or down a touch.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | -0.01 |
| 3 months | 4.34 | -0.01 | 0.00 |
| 6 months | 4.49 | 0.00 | 0.02 |
Swap rates rose but slightly lagged the increases of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.20 | 0.03 | -0.01 |
| 3 years | 3.92 | 0.11 | 0.01 |
| 5 years | 4.10 | 0.12 | 0.00 |
| 10 years | 4.36 | 0.15 | -0.03 |
| 15 years | 4.49 | 0.15 | -0.05 |
As a result, swap spreads generally tightened. By the end of the week, 3-year and 5-year spreads had both lost 2bps to 18bps and 31bps respectively while the 10-year spread finished unchanged at 23bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.