Summary: BBSW generally move higher; swap rates fall; swap spreads modestly tighter.
Bank bill swap rates generally moved higher this week, although the 6-month rate fell.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.53 | 0.09 | 3.52 |
| 3 months | 3.64 | 0.01 | 3.57 |
| 6 months | 3.92 | -0.04 | 3.68 |
Swap rates fell across the curve, slightly outpacing their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.94 | -0.20 | 3.25 |
| 3 years | 3.78 | -0.27 | 1.91 |
| 5 years | 3.93 | -0.29 | 1.70 |
| 10 years | 4.14 | -0.32 | 1.69 |
| 15 years | 4.25 | -0.32 | 1.71 |
As a result, swap spreads tightened modestly. By the end of the week, the 3-year spread had slipped 1bp to 45bps, the 5-year spread had lost 2bps to 54bps while the 10-year spread finished unchanged at 55bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.