Summary: BBSW declines; swap rates rise; swap spreads tighten.
Bank bill swap rates generally declined.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.32 | 0.00 | 0.00 |
| 3 months | 4.35 | -0.04 | -0.08 |
| 6 months | 4.43 | -0.05 | -0.22 |
Swap rates increased but were slightly outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.01 | 0.02 | -0.08 |
| 3 years | 3.87 | 0.07 | 0.07 |
| 5 years | 4.17 | 0.10 | 0.15 |
| 10 years | 4.50 | 0.13 | 0.24 |
| 15 years | 4.67 | 0.14 | 0.27 |
As a result, swap spreads tightened a touch. By the end of the week, 3-year and 5-year spreads had bost slipped 1bp to -6bps and +11bps respectively while the 10-year spread finished 2bps lower at -4bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.