Summary: 3-month, 6-month BBSW both up 8bps again; swap rates rise except at “belly”; swap spreads tighten.
3-month and 6-month BBSW both increased by 8bps to 2.49% and 3.06% respectively again this week.
BBSW
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 month | 2.14 | 0.14 | 0.49 |
| 3 months | 2.49 | 0.08 | 0.37 |
| 6 months | 3.06 | 0.08 | 0.28 |
Swap rates rose at the front and back of the curve, declined at the “belly” but generally lagged the modest increases of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had added 4bps to 3.42%, the 3-year rate had shed 3bps to 3.61%, the 5-year rate had lost 2bps to 3.83% while 10-year and 15-year rates each finished 3bps higher at 4.07% and 4.15% respectively.
SWAP RATES
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 1 Year | 3.42 | 0.04 | 0.41 |
| 3 Year | 3.61 | -0.03 | 0.62 |
| 5 Year | 3.83 | -0.02 | 0.62 |
| 10 Year | 4.07 | 0.03 | 0.60 |
| 15 Year | 4.15 | 0.03 | 0.58 |
As a result, swap spreads tightened across the curve. By the end of the week, the 3-year spread had narrowed by 7bps to 37bps, the 5-year spread had lost 6bps to 47bps while the 10-year spread finished 4bps lower at 42bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.