Summary: BBSW generally a little higher; swap rates fall; swap spreads tighten a touch.
Bank bill swap rates generally crept a little higher.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.00 |
| 3 months | 4.35 | 0.01 | 0.03 |
| 6 months | 4.49 | 0.01 | 0.08 |
Swap rates fell, slightly outpacing the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.17 | -0.04 | 0.08 |
| 3 years | 3.81 | -0.11 | 0.08 |
| 5 years | 3.98 | -0.13 | 0.06 |
| 10 years | 4.21 | -0.17 | -0.02 |
| 15 years | 4.34 | -0.18 | -0.04 |
As a result, swap spreads tightened a touch. By the end of the week, the 3-year spread had returned to its starting point at 20bps, the 5-year spread had lost 2bps to 33bps while the 10-year spread finished 1bp tighter at 23bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.