Summary: BBSW decrease; swap rates fall; swap spreads tighten a touch.
Bank bill swap rates generally fell again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.11 |
| 3 months | 4.34 | -0.03 | -0.01 |
| 6 months | 4.48 | -0.11 | -0.25 |
Swap rates fell, slightly more than their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.30 | -0.14 | -0.24 |
| 3 years | 4.07 | -0.19 | -0.41 |
| 5 years | 4.27 | -0.20 | -0.46 |
| 10 years | 4.55 | -0.21 | -0.47 |
| 15 years | 4.69 | -0.22 | -0.46 |
As a result, swap spreads tightened a touch. By the end of the week, 3-year, 5-year and 10-year spreads had all slipped 1bp to 17bps, 31bps and 25bps respectively.
