Summary: BBSW generally higher; swap rates fall; swap spreads tighten.
Bank bill swap rates generally crept a little higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0.02 |
| 3 months | 4.47 | 0.01 | 0.10 |
| 6 months | 4.74 | -0.01 | 0.15 |
Swap rates fell, outpacing the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.39 | -0.03 | 0.14 |
| 3 years | 4.04 | -0.11 | 0.09 |
| 5 years | 4.19 | -0.11 | 0.10 |
| 10 years | 4.38 | -0.10 | 0.10 |
| 15 years | 4.51 | -0.09 | 0.10 |
As a result, swap spreads tightened. By the end of the week, 3-year and 5-year spreads had both shed 6bps to 3bps and 18bps respectively while the 10-year spread finished 7bp tighter at 9bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.