Summary: BBSW rates move higher; swap rates rise; swap spreads wider.
Bank bill swap rates moved higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.60 | 0.01 | -0.01 |
| 3 months | 3.65 | 0.01 | -0.04 |
| 6 months | 3.75 | 0.05 | -0.06 |
Swap rates rose across the curve and outpaced the movements of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.63 | 0.14 | 0.03 |
| 3 years | 3.37 | 0.18 | -0.13 |
| 5 years | 3.54 | 0.18 | -0.20 |
| 10 years | 3.86 | 0.18 | -0.16 |
| 15 years | 4.00 | 0.18 | -0.13 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had gained 3bps to 42bps while the 5-year spread added 2bps to 49bps while the 10-year spread finished 4bps higher at 54bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.