Summary: BBSW up; swap rates generally increase; swap spreads narrow on 3-year and 10-year, 5-year spread remains same.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.01 | 0.01 | 0.17 |
| 3 months | 3.17 | 0.06 | 0.11 |
| 6 months | 3.66 | 0.12 | 0.03 |
Swap rates rose by increasing amounts along the curve over the week. By the end of the week, the 1-year rate had added 5bps to 3.59%, the 3-year rate had gained 13bps to 3.66%, 5-year and 10-year rates had each risen by 19bps and 23 bps to 3.88% and 4.13% respectively while the 15-year rate finished 22bps higher at 4.23%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.59 | 0.05 | -0.19 |
| 3 years | 3.66 | 0.13 | -0.34 |
| 5 years | 3.88 | 0.19 | -0.41 |
| 10 years | 4.13 | 0.23 | -0.42 |
| 15 years | 4.23 | 0.22 | -0.42 |
By the end of the week, the 3-year spread had fell 3bps to 49bps, the 5-year stable at 58bps while the 10-year spread slipped 6bps higher at 55bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.