Summary: BBSW increases; swap rates rise; swap spreads widen.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.02 |
| 3 months | 4.45 | 0.04 | 0.11 |
| 6 months | 4.74 | 0.09 | 0.16 |
Swap rates also rose again, this week outpacing the increases of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.47 | 0.14 | 0.13 | ||||||||||
| 3 years | 4.22 | 0.18 | 0.12 | ||||||||||
| 5 years | 4.34 | 0.18 | 0.09 | ||||||||||
| 10 years | 4.49 | 0.15 | 0.04 | ||||||||||
| 15 years | 4.60 | 0.14 | 0.03 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had inched up 1bp to 13bps, the 5-year spread gained 4bps to 26bps while the 10-year spread finished 5bps wider at 18bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.