Summary: BBSW falls back; swap rates increase; swap spreads widen.
Bank bill swap rates fell back this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.3 | 0 | 0 |
| 3 months | 4.41 | -0.03 | 0.02 |
| 6 months | 4.6 | -0.04 | 0.07 |
Swap rates increased across the curve, somewhat outpacing the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.02 | 0.06 | -0.01 |
| 3 years | 3.64 | 0.14 | 0.07 |
| 5 years | 3.86 | 0.15 | 0.09 |
| 10 years | 4.14 | 0.14 | 0.08 |
| 15 years | 4.31 | 0.14 | 0.08 |
As a result, swap spreads generally widened moderately. By the end of the week, the 3-year spread had gained 6bps to 2bps, the 5-year spread had inched up 1bp to 15bps while the 10-year spread finished 5bps wider at 9bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.