Summary: BBSW declines again; swap rates rise; swap spreads tighten considerably.
Bank bill swap rates declined again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.28 | -0.01 | -0.02 |
| 3 months | 4.34 | -0.01 | -0.02 |
| 6 months | 4.58 | -0.01 | -0.04 |
Swap rates rose, although by less than their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.34 | 0.06 | 0.07 |
| 3 years | 4.10 | 0.07 | 0.07 |
| 5 years | 4.25 | 0.07 | 0.02 |
| 10 years | 4.45 | 0.04 | -0.03 |
| 15 years | 4.57 | 0.03 | -0.04 |
As a result, swap spreads tightened considerably. By the end of the week, the 3-year spread had narrowed by 7bps to 11bps, the 5-year spread had lost 5bps to 23bps while the 10-year spread finished 6bps tighter at 14bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.