Summary: BBSW increases; swap rates decrease; swap spreads tighten.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.01 | 0.01 |
| 3 months | 4.15 | 0.02 | 0.03 |
| 6 months | 4.42 | 0.05 | 0.07 |
Swap rates decreased all along the curve, outpacing their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.25 | -0.02 | 0.03 |
| 3 years | 4.11 | -0.09 | 0.08 |
| 5 years | 4.37 | -0.12 | 0.19 |
| 10 years | 4.71 | -0.13 | 0.27 |
| 15 years | 4.86 | -0.14 | 0.29 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 4bps to 16bps, the 5-year spread had shed 7bps to 30bps while the 10-year spread finished 6bps lower at 24bps.
