Summary: BBSW generally move higher; swap rates fall; swap spreads wider.
Bank bill swap rates again generally moved higher this week, although the 6-month rate also fell again.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.61 | 0.08 | 0.30 |
| 3 months | 3.69 | 0.05 | 0.22 |
| 6 months | 3.81 | -0.11 | 0.00 |
Swap rates fell across the curve but lagged the movements of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.60 | -0.34 | -0.45 |
| 3 years | 3.50 | -0.28 | -0.45 |
| 5 years | 3.74 | -0.19 | -0.38 |
| 10 years | 4.02 | -0.12 | -0.36 |
| 15 years | 4.13 | -0.12 | -0.36 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had added 6bps to 51bps, the 5-year spread had gained 10bps to 64bps while the 10-year spread finished 8bps higher at 63bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.