Summary: BBSW generally move higher; swap rates rise; swap spreads wider at front of curve, little change elsewhere.
Bank bill swap rates again generally moved higher this week, although the 1-month rate slip a touch.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.63 | -0.01 | 0.19 |
| 3 months | 3.72 | 0.02 | 0.09 |
| 6 months | 3.79 | 0.01 | -0.17 |
Swap rates rose across the curve and mostly kept pace with the movements of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.60 | 0.09 | -0.54 |
| 3 years | 3.41 | 0.11 | -0.64 |
| 5 years | 3.59 | 0.07 | -0.63 |
| 10 years | 3.90 | 0.08 | -0.56 |
| 15 years | 4.03 | 0.08 | -0.54 |
As a result, swap spreads moved higher at the front of the curve but changed little elsewhere. By the end of the week, the 3-year spread had gained 3bps to 50bps, the 5-year spread had slipped 1bp to 57bps while the 10-year spread finished unchanged at 60bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.