Summary: BBSW declines; swap rates increase; swap spreads tighten.
Bank bill swap rates again generally declined this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0 |
| 3 months | 4.38 | -0.01 | -0.04 |
| 6 months | 4.59 | -0.02 | -0.03 |
Swap rates increased across the curve but were outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.18 | 0.01 | 0.20 |
| 3 years | 3.9 | 0.03 | 0.41 |
| 5 years | 4.14 | 0.04 | 0.44 |
| 10 years | 4.43 | 0.05 | 0.45 |
| 15 years | 4.59 | 0.05 | 0.45 |
As a result, swap spreads tightened. By the end of the week, 3-year and 5-year spreads had both lost 3bps to -1bp and 13bps respectively while the 10-year spread finished 5bps lower at 2bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.