Summary: 3-month BBSW up 5bps, 6-month BBSW up 1bp; swap rates fall; swap spreads wider.
3-month BBSW gained 5bps to 3.11% while 6-month BBSW added 1bp to 3.64% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.87 | 0.08 | 0.37 |
| 3 months | 3.11 | 0.05 | 0.20 |
| 6 months | 3.64 | 0.01 | 0.20 |
Swap rates fell significantly all along the curve over the week but they lagged the falls of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had lost 18bps to 3.79%, the 3-year rate had shed 38bps to 3.93%, the 5-year rate had decreased by 40bps to 4.20%, the 10-year rate had given back by 39bps to 4.46% while the 15-year rate finished 36bps lower at 4.56%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.79 | -0.18 | -0.02 |
| 3 years | 3.93 | -0.38 | -0.08 |
| 5 years | 4.20 | -0.40 | -0.01 |
| 10 years | 4.46 | -0.39 | 0.11 |
| 15 years | 4.56 | -0.36 | 0.17 |
As a result, swap spreads widened again. By the end of the week, the 3-year spread had added 10bps to 65bps, the 5-year spread had gained 8bps to 76bps while the 10-year spread finished 7bps higher at 72bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.