Summary: BBSW increase; swap rates fall; swap spreads widen.
Bank bill swap rates generally increased a touch this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.32 | 0.01 | 0.02 |
| 3 months | 4.42 | 0.00 | 0.03 |
| 6 months | 4.67 | 0.01 | 0.06 |
Swap rates fell across the curve but were outpaced by the falls of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 year | 4.25 | -0.01 | 0.08 | ||||||||||
| 3 years | 4.03 | -0.05 | 0.16 | ||||||||||
| 5 years | 4.28 | -0.05 | 0.18 | ||||||||||
| 10 years | 4.53 | -0.05 | 0.15 | ||||||||||
| 15 years | 4.67 | -0.04 | 0.13 |
As a result, swap spreads widened. By the end of the week, the 3-year spreads had added 4bps to -5bps, the 5-year spread had gained 5bps to +11bps while the 10-year spread finished 4bps higher at -2bps.
Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.