Summary: BBSW move in both directions; swap rates fall; swap spreads tighten.
Bank bill swap rates moved a bit each way this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.02 |
| 3 months | 4.35 | 0.01 | -0.06 |
| 6 months | 4.44 | -0.04 | -0.32 |
Swap rates fell again and by more than their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.20 | -0.10 | -0.32 |
| 3 years | 3.92 | -0.15 | -0.47 |
| 5 years | 4.11 | -0.16 | -0.50 |
| 10 years | 4.36 | -0.19 | -0.51 |
| 15 years | 4.49 | -0.20 | -0.52 |
As a result, swap spreads tightened. By the end of the week the 3-year spread had contracted by 3bps to 14bps, the 5-year spread had lost 2bps to 29bps while the 10-year spread finished 3bps lower at 22bps.
