Summary: BBSW moves inconsistently; swap rates rise; swap spreads tighter.
Bank bill swap rates moved somewhat inconsistently this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | -0.01 | 0.00 |
| 3 months | 4.34 | -0.02 | -0.01 |
| 6 months | 4.56 | 0.03 | 0.07 |
Swap rates also rose but lagged the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.25 | 0.06 | 0.08 |
| 3 years | 4.00 | 0.13 | 0.19 |
| 5 years | 4.19 | 0.14 | 0.21 |
| 10 years | 4.43 | 0.13 | 0.22 |
| 15 years | 4.56 | 0.12 | 0.22 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 4bps to 15bps, the 5-year spread had shed 3bps to 27bps while the 10-year spread finished 4bps tighter at 16bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.