Summary: BBSW rates up again; swap rates increase at front of curve, fall elsewhere; swap spreads tighten.
Bank bill swap rates generally increased modestly this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.81 | -0.01 | 0.22 |
| 3 months | 3.89 | 0.02 | 0.25 |
| 6 months | 4.02 | 0.03 | 0.32 |
Swap rates increased at the front of the yield curve but fell further out, generally lagging their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.80 | 0.04 | 0.31 |
| 3 years | 3.39 | 0.02 | 0.20 |
| 5 years | 3.51 | -0.02 | 0.15 |
| 10 years | 3.83 | -0.04 | 0.15 |
| 15 years | 4.00 | -0.03 | 0.18 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had decreased by 3bps to 37bps while 5-year and 10-year spread both finished 5bps lower at 45bps and 50bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.