Summary: BBSW increases again; swap rates increase modestly; swap spreads tighten again.
Bank bill swap rates increased again this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.31 | 0 | 0.01 |
| 3 months | 4.42 | 0.01 | 0.01 |
| 6 months | 4.67 | 0.02 | 0.07 |
Swap rates increased modestly across the curve but were again slightly outpaced by the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.25 | 0.01 | 0.23 |
| 3 years | 4.02 | 0.01 | 0.38 |
| 5 years | 4.28 | 0.01 | 0.42 |
| 10 years | 4.55 | 0.02 | 0.41 |
| 15 years | 4.7 | 0.03 | 0.39 |
As a result, swap spreads tightened again. By the end of the week, 3-year and 5-year spreads had both lost 2bps to -6bps and 9bps respectively while the 10-year spread finished 1bp lower at -2bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.