Summary: BBSW increase again; swap rates increase noticeably; swap spreads widen a touch.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.07 | 0.01 | 0.01 |
| 3 months | 4.22 | 0.07 | 0.09 |
| 6 months | 4.53 | 0.11 | 0.18 |
Swap rates noticeably increased along the curve, slightly lagging their Commonwealth Government counterparts’ movements.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.38 | 0.13 | 0.13 |
| 3 years | 4.37 | 0.26 | 0.30 |
| 5 years | 4.67 | 0.30 | 0.46 |
| 10 years | 5.00 | 0.29 | 0.55 |
| 15 years | 5.14 | 0.28 | 0.57 |
As a result, swap spreads generally widened a touch. By the end of the week, the 3-year spread had returned to its starting point at 16bps while 5-year and 10-year spreads had both crept up 1bp to 31bps and 25bps respectively.
