Summary: BBSW increase again; swap rates fall; swap spreads tighten.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.28 | 0.09 | 0.23 |
| 3 months | 4.41 | 0.06 | 0.28 |
| 6 months | 4.76 | 0.03 | 0.39 |
Swap rates fell, outpacing their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.52 | -0.02 | 0.25 |
| 3 years | 4.39 | -0.09 | 0.19 |
| 5 years | 4.61 | -0.12 | 0.12 |
| 10 years | 4.87 | -0.15 | 0.03 |
| 15 years | 5.01 | -0.14 | 0.01 |
As a result, swap spreads tightened again. By the end of the week, 3-year spread had lost 4bps to 15bps, the 5-year spread had shed 3bps to 31bps while the 10-year spread finished 5bps lower at 24bps.
