Summary: BBSW move higher; swap rates rise at front, belly of curve; swap spreads modestly tighter.
Bank bill swap rates moved higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.33 | 0.02 | 3.32 |
| 3 months | 3.51 | 0.04 | 3.44 |
| 6 months | 3.87 | 0.06 | 3.63 |
Swap rates rose at the front and belly of the curve but declined a touch further out.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.10 | 0.05 | 3.57 |
| 3 years | 3.99 | 0.04 | 2.48 |
| 5 years | 4.15 | 0.03 | 2.26 |
| 10 years | 4.37 | -0.01 | 2.20 |
| 15 years | 4.48 | -0.01 | 2.20 |
As a result, swap spreads tightened modestly. By the end of the week, the 3-year spread had shed 4bps to 43bps, the 5-year spread had lost 2bps to 52bps while the 10-year spread finished 2bps tighter at 56bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.