Summary: 3-month BBSW up 6bps, 6-month BBSW up 11bps; swap rates rise; swap spreads widen.
3-month BBSW increased by 6bps to 2.91% while 6-month BBSW gained 11bps to 3.44% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.50 | 0.02 | 0.59 |
| 3 months | 2.91 | 0.06 | 0.58 |
| 6 months | 3.44 | 0.11 | 0.54 |
Swap rates rose along the curve, outpacing the rises of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had gained 19bps to 3.81%, 3-year and 5-year rates had both risen by 27bps to 4.01% and 4.21% respectively, the 10-year rate had gained 22bps to 4.35% while the 15-year rate finished 17bps higher at 4.39%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 year | 3.81 | 0.19 | 0.53 |
| 3 years | 4.01 | 0.27 | 0.50 |
| 5 years | 4.21 | 0.27 | 0.53 |
| 10 years | 4.35 | 0.22 | 0.47 |
| 15 years | 4.39 | 0.17 | 0.43 |
As a result, swap spreads widened across the curve. By the end of the week, the 3-year spread had gained 9bps to 42bps, the 5-year spread had added 8bps to 51bps while the 10-year spread finished 3bps higher at 43bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.