Summary: BBSW increases; swap rates rise; swap spreads tighten.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.01 | 0.01 |
| 3 months | 4.41 | 0.04 | 0.06 |
| 6 months | 4.65 | 0.06 | 0.06 |
Swap rates rose but slightly lagged the increases of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.33 | 0.08 | 0.05 | ||||||||||
| 3 years | 4.04 | 0.09 | 0.01 | ||||||||||
| 5 years | 4.16 | 0.07 | -0.02 | ||||||||||
| 10 years | 4.34 | 0.06 | -0.07 | ||||||||||
| 15 years | 4.46 | 0.05 | -0.08 |
As a result, swap spreads tightened modestly. By the end of the week, the 3-year spread had lost 2bps to 12bps, the 5-year spread likewise lost 2bps to 22bps while the 10-year spread finished 3bps tighter at 13bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.