Summary: 3-month BBSW up 12bps, 6-month BBSW up 1bp; swap rates fall; swap spreads mostly widen.
3-month BBSW increased by 12bps to 2.61 while 6-month BBSW inched up 1bp to 3.07% this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.14 | 0.18 | 0.52 |
| 3 months | 2.61 | 0.12 | 0.35 |
| 6 months | 3.07 | 0.01 | 0.16 |
Swap rates fell along the curve but generally lagged the falls of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had lost 9bps to 3.33%, the 3-year rate had shed 13bps to 3.48%, the 5-year rate had decreased by 10bps to 3.73%, the 10-year rate had lost 7bps to 4.00% while the 15-year rate finished 3bps lower at 4.12%.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 Year | 3.33 | -0.09 | 0.07 |
| 3 Year | 3.48 | -0.13 | 0.13 |
| 5 Year | 3.73 | -0.10 | 0.25 |
| 10 Year | 4.00 | -0.07 | 0.37 |
| 15 Year | 4.12 | -0.03 | 0.43 |
As a result, swap spreads widened modestly across much of the curve with the exception of those at the front. By the end of the week, the 3-year spread had slipped 1bp to 36bps, the 5-year spread had inched up 1bp to 48bps while the 10-year spread finished 2bps higher at 44bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.