Summary: 3-month BBSW up 24bps, 6-month BBSW up 26bps; swap rates fall; swap spreads narrow.
3-month BBSW increased by 24bps to 2.85% while 6-month BBSW gained 26bps to 3.33% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.48 | 0.16 | 0.67 |
| 3 months | 2.85 | 0.24 | 0.55 |
| 6 months | 3.33 | 0.26 | 0.39 |
Swap rates rose significantly along the curve but they slightly lagged the rises of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had gained 29bps to 3.62%, the 3-year rate had risen by 27bps to 3.74%, the 5-year rate had increased by 23bps to 3.94%, the 10-year rate had gained 14bps to 4.13% while the 15-year rate finished 11bps higher at 4.22%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 Year | 3.62 | 0.29 | 0.29 |
| 3 Year | 3.74 | 0.27 | 0.26 |
| 5 Year | 3.94 | 0.23 | 0.29 |
| 10 Year | 4.13 | 0.14 | 0.32 |
| 15 Year | 4.22 | 0.11 | 0.35 |
As a result, swap spreads narrowed modestly across the curve. By the end of the week, the 3-year spread had shed 2bps to 33bps, the 5-year spread had lost 2bps to 43bps while the 10-year spread finished 2bps lower at 41bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.