Summary: BBSW down; swap rates up; swap spreads widen.
Bank bill swap rates generally decreased this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.08 | -0.06 | 0.22 |
| 3 months | 4.30 | -0.05 | 0.28 |
| 6 months | 4.72 | 0.02 | 0.48 |
Swap rates increased all 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 | 4.71 | 0.11 | 0.57 |
| 3 years | 4.58 | 0.28 | 0.81 |
| 5 years | 4.64 | 0.30 | 0.78 |
| 10 years | 4.71 | 0.28 | 0.58 |
| 15 years | 4.76 | 0.26 | 0.48 |
Swap spreads widened as a result. By the end of the week, the 3-year spread had added 8bps to 33bps, the 5-year spread had gained 6bps to 45bps while the 10-year spread finished 5bps higher at 46bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.