Summary: BBSW up; swap rates generally fall; swap spreads stable except at long end.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 3.00 | 0.05 | 0.16 |
| 3 months | 3.11 | 0.05 | 0.05 |
| 6 months | 3.54 | 0.05 | -0.09 |
Swap rates generally fell in line with the falls of their Commonwealth Government counterparts, except at the long end where swap rates lagged.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.54 | 0.08 | -0.24 |
| 3 years | 3.53 | -0.01 | -0.47 |
| 5 years | 3.69 | -0.04 | -0.60 |
| 10 years | 3.90 | -0.05 | -0.65 |
| 15 years | 4.01 | -0.05 | -0.64 |
As a result, swap spreads remained fairly stable except at the long end where they widened. By the end of the week, the 3-year spread had added 1bps to 52bps, the 5-year spread had slipped 1bp to 58bps while the 10-year spread finished 5bps higher at 61bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.