Summary: BBSW move up, down; swap rates up; swap spreads narrow again.
Bank bill swap rates moved a little in both directions this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.05 | -0.01 | -0.01 |
| 3 months | 4.14 | -0.01 | 0.00 |
| 6 months | 4.40 | 0.01 | 0.00 |
Swap rates increased but not as much as their Commonwealth Government counterparts for a third consecutive week.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.35 | 0.00 | 0.09 |
| 3 years | 4.22 | 0.00 | 0.13 |
| 5 years | 4.42 | 0.04 | 0.17 |
| 10 years | 4.71 | 0.11 | 0.21 |
| 15 years | 4.84 | 0.13 | 0.22 |
As a result, swap spreads narrowed again. By the end of the week, the 3-year spread had lost 3bps to 14bps, the 5-year spread had shed 2bps to 27bps while the 10-year spread finished 3bps lower at 22bps.
