Summary: BBSW moves inconsistently; swap rates rise; swap spreads tighten.
Bank bill swap rates moved inconsistently but modestly this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.00 | 0.01 |
| 3 months | 4.34 | -0.02 | -0.01 |
| 6 months | 4.46 | 0.01 | 0.02 |
Swap rates lagged the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.26 | 0.07 | 0.06 |
| 3 years | 4.01 | 0.15 | 0.09 |
| 5 years | 4.22 | 0.16 | 0.11 |
| 10 years | 4.50 | 0.15 | 0.14 |
| 15 years | 4.65 | 0.16 | 0.16 |
As a result, swap spreads tightened. By the end of the week the 3-year spread had lost 2bps to 15bps, the 5-year spread had shed 3bps to 30bps while the 10-year spread finished 8bps lower at 20bps.
