Summary: BBSW mostly steady, 3-month rate the exception; swap rates rise; swap spreads tighten.
Bank bill swap rates remained steady with the exception of the 3-month rate.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.32 | 0 | 0.01 |
| 3 months | 4.46 | 0.03 | 0.04 |
| 6 months | 4.65 | 0 | -0.02 |
Swap rates generally increased but were outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.09 | 0 | -0.16 |
| 3 years | 3.8 | 0 | -0.22 |
| 5 years | 4.03 | 0.01 | -0.25 |
| 10 years | 4.29 | 0.03 | -0.26 |
| 15 years | 4.43 | 0.03 | -0.27 |
As a result, swap spreads tightened. By the end of the week, 3-year, 5-year and 10-year spreads had all lost 4bps to -5bps, +11bps and zero respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.