Summary: BBSW increase; swap rates rise; swap spreads widen modestly.
Bank bill swap rates generally increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.01 | 0.23 |
| 3 months | 4.38 | 0.00 | 0.16 |
| 6 months | 4.65 | 0.01 | 0.12 |
Swap rates rose, slightly more than the rises of their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.53 | 0.10 | 0.15 |
| 3 years | 4.38 | 0.11 | 0.01 |
| 5 years | 4.58 | 0.12 | -0.09 |
| 10 years | 4.84 | 0.09 | -0.16 |
| 15 years | 4.97 | 0.09 | -0.17 |
As a result, swap spreads generally widened a little. By the end of the week, 3-year spread had returned to its starting point at 18bps while 5-year and 10-year spreads both finished 1bp higher at 33bps and 29bps respectively.
