Summary: BBSW up noticeably; swap rates rise; swap spreads mostly wider.
Bank bill swap rates increased noticeably this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.26 | 0.07 | 3.24 |
| 3 months | 3.47 | 0.13 | 3.40 |
| 6 months | 3.85 | 0.21 | 3.62 |
Swap rates slightly outpaced the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.01 | 0.40 | 3.58 |
| 3 years | 3.85 | 0.45 | 2.51 |
| 5 years | 3.99 | 0.39 | 2.24 |
| 10 years | 4.25 | 0.34 | 2.15 |
| 15 years | 4.36 | 0.31 | 2.12 |
As a result, swap spreads mostly widened. By the end of the week, the 3-year spread had added 4bps to 45bps, the 5-year spread had slipped 1bp to 50bps while the 10-year spread finished 2bps wider at 54bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.