Summary: BBSW higher; swap rates mostly rise; swap spreads widen.
Bank bill swap rates rose moderately this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.33 | 0.02 | 0.03 |
| 3 months | 4.49 | 0.02 | 0.08 |
| 6 months | 4.78 | 0.04 | 0.13 |
Swap rates also generally increased moderately, not quite keeping pace with the movements of their respective Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.38 | -0.01 | 0.05 |
| 3 years | 4.04 | 0.00 | 0.00 |
| 5 years | 4.20 | 0.01 | 0.04 |
| 10 years | 4.41 | 0.03 | 0.07 |
| 15 years | 4.55 | 0.04 | 0.09 |
As a result, swap spreads widened slightly. By the end of the week, 3-year and 5-year spreads had both added 2bps to 5bps and 20bps respectively while the 10-year spread finished 1bp wider at 10bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.