Summary: 3-month BBSW up 13bps, 6-month BBSW up 11bps; swap rates rise modestly; swap spreads widen.
3-month BBSW increased by 13bps to 3.04% while 6-month BBSW gained 11bps to 3.55% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.68 | 0.18 | 0.68 |
| 3 months | 3.04 | 0.13 | 0.63 |
| 6 months | 3.55 | 0.11 | 0.57 |
Swap rates mostly rose modestly along the curve, in contrast with the modest falls of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had gained 5bps to 3.86%, the 3-year rate had slipped 1bp to 4.00%, the 5-year rate had returned to its starting point at 4.21%, the 10-year rate had gained 3bps to 4.38% while the 15-year rate finished 2ps higher at 4.41%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.86 | 0.05 | 0.48 |
| 3 years | 4.00 | -0.01 | 0.36 |
| 5 years | 4.21 | 0.00 | 0.36 |
| 10 years | 4.38 | 0.03 | 0.34 |
| 15 years | 4.41 | 0.02 | 0.29 |
As a result, swap spreads widened across the curve. By the end of the week, the 3-year spread had gained 6bps to 48bps, the 5-year spread had added 4bps to 55bps while the 10-year spread finished 5bps higher at 49bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.