Summary: BBSW move inconsistently; swap rates rise; swap spreads wider.
Bank bill swap rates moved inconsistently this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.31 | 0.05 | 3.30 |
| 3 months | 3.47 | 0.00 | 3.40 |
| 6 months | 3.81 | -0.04 | 3.58 |
Swap rates modestly outpaced the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.05 | 0.04 | 3.60 |
| 3 years | 3.95 | 0.10 | 2.61 |
| 5 years | 4.12 | 0.13 | 2.40 |
| 10 years | 4.38 | 0.13 | 2.32 |
| 15 years | 4.49 | 0.13 | 2.30 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had added 2bps to 47bps, the 5-year spread had gained 4bps to 54bps while the 10-year spread finished 2bps wider at 56bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.