Summary:BBSW up/down a touch; swap rates fall; swap spreads tighter overall.
Bank bill swap rates moved a touch each way this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | -0.01 | -0.01 |
| 3 months | 4.35 | 0.01 | 0.01 |
| 6 months | 4.52 | 0.03 | 0.07 |
Swap rates fell but slightly outpaced the falls of their Commonwealth Government counterparts at the short end and slightly lagged at the long end.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.17 | -0.03 | -0.05 |
| 3 years | 3.84 | -0.08 | -0.13 |
| 5 years | 4.01 | -0.09 | -0.17 |
| 10 years | 4.26 | -0.10 | -0.19 |
| 15 years | 4.40 | -0.09 | -0.19 |
As a result, swap spreads tightened modestly overall. By the end of the week, the 3-year spread had lost 2bps to 16bps, the 5-year spread had added 1bp to 32bps while the 10-year spread finished 1bp tighter at 22bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.