Summary: BBSW up; swap rates up; swap spreads widen.
Bank bill swap rates increased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.14 | 0.04 | 0.04 |
| 3 months | 4.36 | 0.07 | 0.06 |
| 6 months | 4.78 | 0.13 | 0.14 |
Swap rates increased along the curve and outpaced the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.55 | 0.07 | -0.04 |
| 3 years | 4.27 | 0.06 | 0.00 |
| 5 years | 4.33 | 0.06 | 0.02 |
| 10 years | 4.45 | 0.05 | 0.03 |
| 15 years | 4.52 | 0.03 | 0.01 |
Swap spreads widened as a result. By the end of the week, the 3-year spread had inched up 1bp to 29bps while 5-year and 10-year spreads had both gained 4bps to 44bps and 45bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.