Summary: BBSW up again; swap rates up; swap spreads widen.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.14 | 0.03 | 0.31 |
| 3 months | 4.35 | 0.03 | 0.40 |
| 6 months | 4.70 | 0.02 | 0.55 |
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 | 4.60 | 0.02 | 0.56 |
| 3 years | 4.30 | 0.04 | 0.53 |
| 5 years | 4.34 | 0.06 | 0.45 |
| 10 years | 4.43 | 0.07 | 0.24 |
| 15 years | 4.50 | 0.07 | 0.17 |
Swap spreads widened as a result. By the end of the week, the 3-year spread had added 2bps to 25bps, the 5-year spread had gained 5bps to 39bps while the 10-year spread finished 4bps higher at 41bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.