Summary: BBSW move higher; swap rates; swap spreads modestly wider.
Bank bill swap rates moved noticeably higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.44 | 0.11 | 3.43 |
| 3 months | 3.63 | 0.12 | 3.55 |
| 6 months | 3.96 | 0.09 | 3.70 |
Swap rates rose across the curve, slightly outpacing their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.14 | 0.04 | 3.54 |
| 3 years | 4.05 | 0.06 | 2.46 |
| 5 years | 4.22 | 0.07 | 2.27 |
| 10 years | 4.46 | 0.09 | 2.27 |
| 15 years | 4.57 | 0.09 | 2.28 |
As a result, swap spreads widened modestly. By the end of the week, the 3-year spread had added 3bps to 46bps, the 5-year spread had gained 4bps to 56bps while the 10-year spread finished 1bp tighter at 55bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.