Summary: BBSW up again; swap rates up; swap spreads tighten slightly.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.83 | 0.02 | 0.23 |
| 3 months | 3.93 | 0.04 | 0.28 |
| 6 months | 4.12 | 0.10 | 0.37 |
Swap rates increased all along the curve while slightly lagging the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.01 | 0.21 | 0.38 |
| 3 years | 3.68 | 0.29 | 0.31 |
| 5 years | 3.79 | 0.28 | 0.25 |
| 10 years | 4.08 | 0.25 | 0.22 |
| 15 years | 4.24 | 0.24 | 0.24 |
As a result, swap spreads tightened slightly. By the end of the week, 3-year, 5-year and 10-year spreads all had finished 1bp lower at 36bps, 44bps and 49bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.