Bank Bill/Swaps

23 October – 27 October 2023

Summary: BBSW increase again; swap rates increase; swap spreads widen.

Bank bill swap rates increased again this week.

BBSW

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 month4.150.080.09
3 months4.310.090.16
6 months4.680.150.29

Swap rates also increased, outpacing their Commonwealth Government counterparts’ movements.

SWAP RATES

TERM TO MATURITYCLOSING RATEΔ WEEKΔ MONTH
1 year4.510.130.16
3 years4.520.150.30
5 years4.800.130.42
10 years5.120.120.52
15 years5.260.120.55

As a result, swap spreads generally widened. By the end of the week, 3-year, 5-year and 10-year spreads had all gained 5bps to 21bps, 36bps and 30bps respectively.

NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.

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