Summary: BBSW up modestly; swap rates rise; swap spreads generally tighter.
Bank bill swap rates moved modestly higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0.01 | 0.01 |
| 3 months | 4.36 | 0.02 | 0.02 |
| 6 months | 4.53 | 0.03 | 0.05 |
Swap rates also rose but slightly lagged the rises of their Commonwealth Government counterparts at the “belly” and long end of the curve.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.19 | 0.02 | -0.02 |
| 3 years | 3.87 | 0.07 | -0.05 |
| 5 years | 4.05 | 0.09 | -0.06 |
| 10 years | 4.30 | 0.10 | -0.08 |
| 15 years | 4.44 | 0.11 | -0.08 |
As a result, swap spreads generally tightened. By the end of the week, the 3-year spread had added 1bp to 18bps, the 5-year spread had shed 4bps to 30bps while the 10-year spread finished 3bps tighter at 20bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.