Summary: BBSW increases; swap rates rise; swap spreads tighten.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0.02 |
| 3 months | 4.46 | 0.01 | 0.11 |
| 6 months | 4.76 | 0.02 | 0.16 |
Swap rates also rose again, this week lagging the increases of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.49 | 0.02 | 0.10 |
| 3 years | 4.26 | 0.04 | 0.05 |
| 5 years | 4.40 | 0.06 | 0.03 |
| 10 years | 4.55 | 0.06 | -0.04 |
| 15 years | 4.66 | 0.06 | -0.06 |
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 3bps to 10bps, the 5-year spread shed 2bps to 24bps while the 10-year spread finished 3bps tighter at 15bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.