Summary: BBSW up; swap rates decline again; swap spreads tighten a little.
Bank bill swap rates rose modestly again this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0.01 |
| 3 months | 4.42 | 0.02 | 0.04 |
| 6 months | 4.58 | 0.03 | 0.04 |
Swap rates again declined across the curve, this time outpacing the falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.92 | -0.07 | -0.17 |
| 3 years | 3.43 | -0.1 | -0.25 |
| 5 years | 3.62 | -0.09 | -0.26 |
| 10 years | 3.9 | -0.09 | -0.24 |
| 15 years | 4.06 | -0.08 | -0.23 |
As a result, swap spreads tightened a little. By the end of the week, the 3-year spread had decreased by 3bps to zero, the 5-year yield had lost 2bps to 17bps while the 10-year spread finished 3bps lower at 8bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.