Summary: BBSW decrease; swap rates fall; swap spreads tighten a little.
Bank bill swap rates generally fell this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.15 |
| 3 months | 4.37 | -0.01 | 0.06 |
| 6 months | 4.59 | -0.06 | -0.09 |
Swap rates fell, slightly more than their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.44 | -0.09 | -0.07 |
| 3 years | 4.26 | -0.12 | -0.26 |
| 5 years | 4.47 | -0.11 | -0.33 |
| 10 years | 4.76 | -0.08 | -0.36 |
| 15 years | 4.91 | -0.06 | -0.35 |
As a result, swap spreads generally tightened a little. By the end of the week, the 3-year spread had returned to its starting point at 18bps, the 5-year spread had lost 1bp to 32bps while the 10-year spread finished 3bps lower at 26bps.
