Bank Bill/Swaps

7 March – 11 March 2022

Summary: 3-month BBSW up 3bps, 6-month BBSW up 13bps; swap rates rise; swap spreads tighten.

3-month BBSW added 3bps to 0.15% while 6-month BBSW finished the week 13bps higher at 0.51%.

Swap rates rose significantly all along the curve but not quite as much as their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had added 18bps to 0.88% while 3-year and 5-year both gained 15bps to 2.02% and 2.39% respectively. The 10-year rate increased by 20bps to 2.64% while the 15-year rate finished 15bps higher at 2.72%.

As a result, swap spreads tightened. By the end of the week, the 3-year spread had shed 8bps to 0.35%, the 5-year spread had lost 10bps to 28bps while the 10-year spread finished 4bps lower at 26bps.

NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.

TERM TO MATURITYClosing RateΔ WEEKΔ MONTH
30 Day0.030.010.01
90 Day0.150.030.08
180 Day0.510.130.29
1 Year0.880.180.29
3 Year2.020.150.35
5 Year2.390.150.35
10 Year2.640.200.37
15 Year2.720.150.35
Click for previous reports