Summary: BBSW barely moves; swap rates fall; swap spreads tighten.
Bank bill swap rates barely moved this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.00 | 0.01 |
| 3 months | 4.35 | 0.01 | -0.02 |
| 6 months | 4.46 | 0.00 | 0.00 |
Swap rates slightly outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.22 | -0.04 | 0.05 |
| 3 years | 3.92 | -0.09 | 0.12 |
| 5 years | 4.14 | -0.08 | 0.16 |
| 10 years | 4.43 | -0.07 | 0.22 |
| 15 years | 4.58 | -0.07 | 0.23 |
As a result, swap spreads tightened. By the end of the week the 3-year spread had lost 4bps to 11bps while 5-year and 10-year spreads both finished 1bp lower at 29bps and 19bps.
