Summary: 3-month BBSW down 7bps, 6-month BBSW down 3bps; swap rates rise; swap spreads tighter.
3-month BBSW lost 7bps to 3.04% while 6-month BBSW fell 3bps to 3.61% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.82 | -0.05 | 0.14 |
| 3 months | 3.04 | -0.07 | 0.00 |
| 6 months | 3.61 | -0.03 | 0.06 |
Swap rates rebounded along most of the curve over the week, slightly lagging the rises of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had slipped 1bp to 3.78%, the 3-year rate had added 7bps to 4.00% while 5-year, 10-year and 15-year rates all finished 9bps higher to 4.29%, 4.55% and 4.65% respectively.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.78 | -0.01 | -0.08 |
| 3 years | 4.00 | 0.07 | 0.00 |
| 5 years | 4.29 | 0.09 | 0.08 |
| 10 years | 4.55 | 0.09 | 0.17 |
| 15 years | 4.65 | 0.09 | 0.24 |
As a result, swap spreads tightened modestly. By the end of the week, the 3-year spread had slipped 1bp to 64bps, the 5-year spread had returned to its starting point at 76bps while the 10-year spread finished 2bps lower at 70bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.