Summary: BBSW increases; swap rates increase; swap spreads tighten again.
Bank bill swap rates increased this week after a couple of weeks of declines.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0 | 0.01 |
| 3 months | 4.41 | 0.03 | -0.03 |
| 6 months | 4.65 | 0.06 | 0.01 |
Swap rates increased across the curve but were outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.24 | 0.06 | 0.28 |
| 3 years | 4.01 | 0.11 | 0.51 |
| 5 years | 4.27 | 0.13 | 0.56 |
| 10 years | 4.53 | 0.1 | 0.53 |
| 15 years | 4.67 | 0.08 | 0.5 |
As a result, swap spreads tightened again. By the end of the week, the 3-year spread had lost 3bps to -4bps, the 5-year spread had shed 2bps to 11bps while the 10-year spread finished 3bps lower at -1bp.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.