Summary: BBSW move higher; swap rates rise; swap spreads narrow modestly.
Bank bill swap rates moved higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0.02 |
| 3 months | 4.41 | 0.05 | 0.06 |
| 6 months | 4.71 | 0.09 | 0.19 |
Swap rates also rose, slightly lagging the increases of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.49 | 0.22 | 0.32 |
| 3 years | 4.32 | 0.29 | 0.48 |
| 5 years | 4.51 | 0.28 | 0.50 |
| 10 years | 4.73 | 0.25 | 0.47 |
| 15 years | 4.84 | 0.23 | 0.44 |
As a result, swap spreads narrowed modestly. By the end of the week, 3-year and 5-year spreads had both added 2bps to 18bps and 31bps respectively while the 10-year spread finished 1bp lower at 21bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.