Summary: BBSW up noticeably; swap rates higher; swap spreads change little.
Bank bill swap rates increased noticeably this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.16 | 0.07 | 0.14 |
| 3 months | 3.38 | 0.11 | 0.17 |
| 6 months | 3.74 | 0.14 | 0.06 |
Swap rates generally moved in line with the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.74 | 0.20 | 0.01 |
| 3 years | 3.62 | 0.20 | -0.19 |
| 5 years | 3.82 | 0.19 | -0.25 |
| 10 years | 4.10 | 0.17 | -0.24 |
| 15 years | 4.23 | 0.16 | -0.21 |
As a result, swap spreads changed very little overall. By the end of the week, the 3-year spread had returned to its starting point at 43bps, the 5-year spread had slipped 1bp to 53bps while the 10-year spread finished 1bb higher at 54bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.