Summary: BBSW up again; swap rates up; swap spreads tighten.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.83 | 0.00 | 0.23 |
| 3 months | 3.95 | 0.02 | 0.30 |
| 6 months | 4.15 | 0.03 | 0.40 |
Swap rates increased along the curve but were outpaced by the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.04 | 0.03 | 0.27 |
| 3 years | 3.77 | 0.09 | 0.23 |
| 5 years | 3.89 | 0.10 | 0.20 |
| 10 years | 4.19 | 0.11 | 0.22 |
| 15 years | 4.33 | 0.09 | 0.22 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 4bps to 32bps, the 5-year spread had shed 2bps to 42bps while the 10-year spread finished 3bps lower at 46bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.