Summary: BBSW increase slightly; swap rates rise; swap spreads widen.
Bank bill swap rates increased slightly this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.29 | 0.01 | -0.02 |
| 3 months | 4.35 | 0.01 | -0.06 |
| 6 months | 4.60 | 0.02 | -0.11 |
Swap rates rose, outpacing their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.39 | 0.05 | -0.10 |
| 3 years | 4.21 | 0.11 | -0.11 |
| 5 years | 4.37 | 0.12 | -0.14 |
| 10 years | 4.59 | 0.14 | -0.14 |
| 15 years | 4.72 | 0.15 | -0.12 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had gained 5bps to 16bps, the 5-year spread had added 4bps to 27bps while the 10-year spread finished 4bps wider at 18bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.