Summary: BBSW moves inconsistently; swap rates rise at short end, belly, down at long end; swap spreads largely unchanged.
Bank bill swap rates moved inconsistently this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.32 | 0 | 0 |
| 3 months | 4.33 | -0.02 | -0.13 |
| 6 months | 4.44 | 0.01 | -0.21 |
Swap rates generally moved in line with the movements of their Commonwealth Government counterparts; up modestly at the short end and belly of the curve and down at the long end.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.02 | 0.01 | -0.07 |
| 3 years | 3.89 | 0.02 | 0.09 |
| 5 years | 4.18 | 0.01 | 0.15 |
| 10 years | 4.47 | -0.03 | 0.18 |
| 15 years | 4.63 | -0.04 | 0.2 |
As a result, swap spreads largely finished unchanged. By the end of the week, 3-year and 5-year spreads had both returned to their starting points at -6bps and +11bps respectively while the 10-year spread finished 1bb higher at -3bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.