Summary: BBSW up again; swap rates down; swap spreads tighten again.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.11 | 0.01 | 0.28 |
| 3 months | 4.32 | 0.02 | 0.39 |
| 6 months | 4.68 | 0.04 | 0.56 |
Swap rates decreased all along the curve and outpaced the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.58 | -0.01 | 0.57 |
| 3 years | 4.26 | -0.01 | 0.58 |
| 5 years | 4.28 | -0.03 | 0.49 |
| 10 years | 4.36 | -0.06 | 0.28 |
| 15 years | 4.43 | -0.08 | 0.19 |
As a result, swap spreads tightened again. By the end of the week, the 3-year, 5-year and 10-year spreads had all lost 2bps to 23bps, 34bps and 37bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.