Summary: BBSW move higher; swap rates rise; swap spreads wider.
Bank bill swap rates generally moved higher this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.30 | 0.00 | 0.00 |
| 3 months | 4.36 | 0.02 | 0.02 |
| 6 months | 4.62 | 0.06 | 0.13 |
Swap rates also rose, in contrast with modest declines of their Commonwealth Government counterparts.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.27 | 0.02 | 0.07 |
| 3 years | 4.03 | 0.03 | 0.11 |
| 5 years | 4.23 | 0.04 | 0.13 |
| 10 years | 4.48 | 0.05 | 0.12 |
| 15 years | 4.61 | 0.05 | 0.12 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had gaind 5bps to 20bps while 5-year and 10-year spreads both finished 6bps higher at 33bps and 22bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.