Summary: BBSW rates up; swap rates fall; swap spreads narrower again.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.61 | 0.01 | -0.03 |
| 3 months | 3.68 | 0.03 | -0.02 |
| 6 months | 3.86 | 0.11 | 0.08 |
Swap rates fell across the curve and outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.66 | -0.11 | 0.15 |
| 3 years | 3.36 | -0.18 | 0.06 |
| 5 years | 3.52 | -0.17 | 0.00 |
| 10 years | 3.82 | -0.15 | 0.00 |
| 15 years | 3.97 | -0.14 | 0.02 |
As a result, swap spreads narrowed again. By the end of the week, the 3-year spread had tightened by 6bps to 35bps, the 5-year spreads had shed 5bps to 43bps while the 10-year spread finished 3bps lower at 48bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.