Summary: BBSW rates unchanged; swap rates rise; swap spreads narrower.
Bank bill swap rates finished unchanged this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.60 | 0.00 | -0.01 |
| 3 months | 3.65 | 0.00 | -0.04 |
| 6 months | 3.75 | 0.00 | -0.06 |
Swap rates rose across the curve but lagged the movements of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.77 | 0.14 | 0.17 |
| 3 years | 3.54 | 0.17 | 0.04 |
| 5 years | 3.69 | 0.15 | -0.05 |
| 10 years | 3.97 | 0.11 | -0.05 |
| 15 years | 4.11 | 0.11 | -0.02 |
As a result, swap spreads narrowed. By the end of the week, 3-year and 5-year spreads had both slipped 1bp to 41bps and 48bps respectively while the 10-year spread finished 3bps lower at 51bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.