Summary: BBSW increases; swap rates increase; swap spreads tighten.
Bank bill swap rates generally increased this week.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 4.3 | 0 | 0 |
| 3 months | 4.42 | 0.01 | 0.02 |
| 6 months | 4.62 | 0.02 | 0.07 |
Swap rates also increased across the curve, slightly lagging the rises of their Commonwealth Government counterparts.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 4.14 | 0.12 | 0.15 |
| 3 years | 3.79 | 0.15 | 0.26 |
| 5 years | 4.01 | 0.15 | 0.30 |
| 10 years | 4.29 | 0.15 | 0.30 |
| 15 years | 4.45 | 0.14 | 0.31 |
As a result, swap spreads generally tightened a touch. By the end of the week, the 3-year spread had slipped 1bp to 1bp, the 5-year spread had lost 2bps to 13bps while the 10-year spread finished unchanged at 9bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.