Summary: BBSW increase again; swap rates fall; swap spreads tighten.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.19 | 0.04 | 0.13 |
| 3 months | 4.35 | 0.04 | 0.20 |
| 6 months | 4.73 | 0.05 | 0.34 |
Swap rates fell, slightly outpacing their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.54 | 0.03 | 0.19 |
| 3 years | 4.48 | -0.04 | 0.26 |
| 5 years | 4.73 | -0.07 | 0.35 |
| 10 years | 5.02 | -0.10 | 0.42 |
| 15 years | 5.15 | -0.11 | 0.44 |
As a result, swap spreads tightened a touch. By the end of the week, 3-year and 5-year spreads had each lost 2bps to 19bps and 34bps respectively while the 10-year spread finished 1bp lower at 29bps.
