Summary: BBSW generally unchanged; swap rates hardly move; swap spreads tighten a tad.
Bank bill swap rates, with the exception of the 6-month rate, remained unchanged this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | -0.01 |
| 3 months | 4.34 | 0.00 | 0.00 |
| 6 months | 4.47 | 0.02 | 0.01 |
Swap rates hardly moved, almost in line with their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.23 | 0.01 | -0.03 |
| 3 years | 3.98 | 0.01 | -0.03 |
| 5 years | 4.18 | 0.00 | -0.04 |
| 10 years | 4.44 | -0.01 | -0.06 |
| 15 years | 4.58 | -0.01 | -0.07 |
As a result, swap spreads tightened a tad. By the end of the week the 3-year spread had returned to its starting point at 19bps while 5-year and 10-year spreads both finished 1bp lower at 34bps and 24bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.