Summary: 3-month BBSW, 6-month BBSW both up 4bps; swap rates rise; swap spreads generally tighten.
3-month BBSW and 6-month BBSW each added 4bps to 2.92% and 3.42% respectively this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.67 | 0.03 | 0.35 |
| 3 months | 2.92 | 0.04 | 0.31 |
| 6 months | 3.42 | 0.04 | 0.35 |
Swap rates rose by increasing amounts along the curve over the week but were outpaced by the rises of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had added 6bps to 3.65%, the 3-year rate had gained 10bps to 3.96%, 5-year and 7-year rates had each risen by 12bps to 4.27% and 4.50% respectively while the 15-year rate finished 13bps higher at 4.59%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.65 | 0.060 | 0.32 |
| 3 years | 3.96 | 0.100 | 0.49 |
| 5 years | 4.27 | 0.120 | 0.56 |
| 10 years | 4.5 | 0.120 | 0.51 |
| 15 years | 4.59 | 0.130 | 0.48 |
As a result, swap spreads generally tightened. By the end of the week, the 3-year spread had slipped 1bp to 42bps, the 5-year spread had returned to its starting point at 57bps while the 10-year spread finished 4bps lower at 49bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.