Summary: BBSW up again; swap rates up; swap spreads tighten.
Bank bill swap rates increased again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.06 | 0.20 | 0.24 |
| 3 months | 4.21 | 0.19 | 0.34 |
| 6 months | 4.49 | 0.25 | 0.50 |
Swap rates increased along the curve but lagged the rises of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.44 | 0.30 | 0.68 |
| 3 years | 4.12 | 0.35 | 0.75 |
| 5 years | 4.18 | 0.32 | 0.65 |
| 10 years | 4.38 | 0.25 | 0.51 |
| 15 years | 4.50 | 0.22 | 0.47 |
As a result, swap spreads tightened. By the end of the week, 3-year and 5-year spreads had both lost 5bps to 29bps and 38bps respectively while the 10-year spread finished 6bps lower at 43bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.