Summary: BBSW up again; swap rates up at short-end, down further out; swap spreads widen modestly.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.86 | 0.03 | 0.25 |
| 3 months | 4.02 | 0.07 | 0.34 |
| 6 months | 4.24 | 0.09 | 0.38 |
Swap rates increased at the very front of the curve but decreased further out, generally lagging the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.14 | 0.10 | 0.48 |
| 3 years | 3.77 | 0.00 | 0.41 |
| 5 years | 3.86 | -0.03 | 0.34 |
| 10 years | 4.13 | -0.06 | 0.31 |
| 15 years | 4.28 | -0.05 | 0.31 |
As a result, swap spreads widened modestly. By the end of the week, the 3-year spread had gained 2bps to 34bps, the 5-year spread had added 1bp to 43bps while the 10-year spread finished 3bps higher at 49bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.