Summary: BBSW declines; swap rates increase; swap spreads generally widen.
Bank bill swap rates declined this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.3 | 0 | -0.01 |
| 3 months | 4.39 | -0.03 | -0.03 |
| 6 months | 4.61 | -0.01 | 0.03 |
Swap rates increased across the curve, slightly outpacing the rises of their Commonwealth Government counterparts for most tenors.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.17 | 0.03 | 0.25 |
| 3 years | 3.87 | 0.08 | 0.44 |
| 5 years | 4.1 | 0.09 | 0.48 |
| 10 years | 4.38 | 0.09 | 0.48 |
| 15 years | 4.54 | 0.09 | 0.48 |
As a result, swap spreads generally widened modestly. By the end of the week, the 3-year spread had inched up 1bp to 2bps, the 5-year spread had gained 3bps to 16bps while the 10-year spread finished 2bps lower at 7bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.