Summary: BBSW rates up again; swap rates rise; swap spreads widen.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.82 | 0.21 | 0.18 |
| 3 months | 3.87 | 0.19 | 0.17 |
| 6 months | 3.99 | 0.13 | 0.21 |
Swap rates increased across the curve in contrast to the falls of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.76 | 0.10 | 0.25 |
| 3 years | 3.37 | 0.01 | 0.07 |
| 5 years | 3.53 | 0.01 | 0.01 |
| 10 years | 3.87 | 0.05 | 0.05 |
| 15 years | 4.03 | 0.06 | 0.08 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had increased by 5bps to 40bps while 5-year and 10-year spread both finished 7bps higher at 50bps and 55bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.