Summary: 3-month up 1bp, 6-month BBSW steady; swap rates up across much of curve, outpaces ACGB counterparts; swap spreads wider.
3-month BBSW inched up 1bp to 0.05% while 6-month BBSW remained unchanged at 0.13%.
Swap rates increased across much of the curve, outpacing movements of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had shed 3ps to 0.28%, the 3-year rate had gained 3bps to 1.31%, the 5-year rate had increased by 6bps to 1.73%, the 10-year rate had added 3bps to 2.07% while the 15-year rate finished 1bp higher at 2.22%.
As a result, swap spreads widened along the curve. By the end of the week, 3-year and 5-year spreads had each gained 11bps to 35bps respectively while the 10-year spread finished 1bps wider at 25bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | -0.01 | 0.01 |
| 90 Day | 0.05 | 0.01 | 0.01 |
| 180 Day | 0.13 | 0.00 | 0.01 |
| 1 Year | 0.28 | -0.03 | 0.06 |
| 3 Year | 1.31 | 0.03 | 0.38 |
| 5 Year | 1.73 | 0.06 | 0.34 |
| 10 Year | 2.07 | 0.03 | 0.19 |
| 15 Year | 2.22 | 0.01 | 0.11 |