Summary: BBSW up again; swap rates up; swap spreads tighten again.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.10 | 0.04 | 0.29 |
| 3 months | 4.30 | 0.09 | 0.41 |
| 6 months | 4.64 | 0.15 | 0.62 |
Swap rates increased along the curve but again lagged the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.59 | 0.15 | 0.79 |
| 3 years | 4.27 | 0.15 | 0.88 |
| 5 years | 4.31 | 0.13 | 0.80 |
| 10 years | 4.42 | 0.04 | 0.59 |
| 15 years | 4.51 | 0.01 | 0.51 |
As a result, swap spreads tightened again. By the end of the week, the 3-year spread had shed 4bps to 25bps, the 5-year spread had lost 2bps to 36bps while the 10-year spread finished 4bps lower at 39bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.