Summary: BBSW increases; swap rates up; swap spreads narrow.
Bank bill swap rates increased modestly again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.00 | 0.00 |
| 3 months | 4.15 | 0.02 | 0.00 |
| 6 months | 4.39 | 0.04 | -0.06 |
Swap rates increased, more so at the belly, but not as much as their Commonwealth Government counterparts for a second consecutive week.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.35 | 0.10 | 0.08 |
| 3 years | 4.22 | 0.15 | 0.10 |
| 5 years | 4.38 | 0.17 | 0.08 |
| 10 years | 4.60 | 0.15 | 0.03 |
| 15 years | 4.71 | 0.14 | 0.01 |
As a result, swap spreads narrowed. By the end of the week, the 3-year spread had lost 6bps to 17bps, the 5-year spread had shed 5bps to 29bps while the 10-year spread finished 9bps lower at 25bps.
