Summary: BBSW up; swap rates increase; swap spreads again tighten a touch. Bank bill swap rates rose this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | -0.03 |
| 3 months | 4.39 | 0.04 | -0.10 |
| 6 months | 4.53 | 0.05 | -0.25 |
Swap rates fell almost-uniformly across the curve, slightly outpacing the modest falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.03 | 0.02 | -0.35 |
| 3 years | 3.57 | -0.01 | -0.47 |
| 5 years | 3.77 | 0.01 | -0.43 |
| 10 years | 4.06 | 0.03 | -0.35 |
| 15 years | 4.23 | 0.05 | -0.32 |
As a result, swap spreads again tightened a touch. By the end of the week, the 3-year spread had narrowed by 1bp to 2bps, the 5-year spread had returned to its starting point at 17bps while the 10-year spread finished 2bps tighter at 9bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.