Summary: BBSW generally increase; swap rates increase; swap spreads tighten modestly.
Bank bill swap rates generally increased modestly this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | -0.01 | 0.00 |
| 3 months | 4.44 | 0.02 | 0.09 |
| 6 months | 4.64 | 0.02 | 0.16 |
Swap rates also mostly increased across the curve, slightly lagging the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.96 | -0.02 | -0.05 |
| 3 years | 3.50 | 0.01 | -0.08 |
| 5 years | 3.71 | 0.01 | -0.05 |
| 10 years | 4.00 | 0.02 | -0.03 |
| 15 years | 4.17 | 0.03 | -0.01 |
As a result, swap spreads again tightened modestly. By the end of the week, 3-year, 5-year and 10-year spreads had all lost 2bps to -4bps, 14bps and 4bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.