Summary: 3-month BBSW up 14bps, 6-month BBSW up 21bps; swap rates rise; swap spreads wider.
3-month BBSW gained 14bps to 3.06% while 6-month BBSW added 21bps to 3.63% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.79 | 0.12 | 0.31 |
| 3 months | 3.06 | 0.14 | 0.21 |
| 6 months | 3.63 | 0.21 | 0.30 |
Swap rates rose by almost-uniform amounts along the curve over the week and they outpaced the rises of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had added 32bps to 3.97%, the 3-year rate had gained 35bps to 4.31%, the 5-year rate had increased by 33bps to 4.60%, the 10-year rate had risen by 35bps to 4.85% while the 15-year rate finished 33bps higher at 4.92%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.97 | 0.32 | 0.35 |
| 3 years | 4.31 | 0.35 | 0.57 |
| 5 years | 4.60 | 0.33 | 0.66 |
| 10 years | 4.85 | 0.35 | 0.72 |
| 15 years | 4.92 | 0.33 | 0.70 |
As a result, swap spreads widened. By the end of the week, the 3-year spread had added 13bps to 55bps, the 5-year spread had gained 11bps to 68bps while the 10-year spread finished 16bps higher at 65bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.