Summary: BBSW almost steady; swap rates increase; swap spreads tighten again.
Bank bill swap rates changed very little this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0 | 0.01 |
| 3 months | 4.42 | 0 | 0 |
| 6 months | 4.66 | -0.01 | 0.04 |
Swap rates generally increased by decreasing amounts across the curve but were again modestly outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.26 | 0.01 | 0.12 |
| 3 years | 4.08 | 0.06 | 0.29 |
| 5 years | 4.33 | 0.05 | 0.32 |
| 10 years | 4.58 | 0.03 | 0.29 |
| 15 years | 4.71 | 0.01 | 0.26 |
As a result, swap spreads tightened again. By the end of the week, 3-year and 5-year spreads had both lost 3bps to -9bps and +6bps respectively while the 10-year spread finished 4bps lower at -6bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.