Summary: 3-month BBSW up 3bps, 6-month BBSW down 4bps; swap rates rise along most of curve; swap spreads widen.
3-month BBSW increased by 3bps to 2.33% while 6-month BBSW shed 4bps to 2.90%.
Swap rates rose along most of the curve, in contrast with the modest declines of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had lost 5bps to 3.28%, 3-year and 5-year rates had both increased by 3bps to 3.51% and 3.68% respectively, the 10-year rate had added 7bps to 3.88% while the 15-year rate finished 9bps higher at 3.96%.
As a result, swap spreads widened along most of the curve. By the end of the week, the 3-year spread had added 3bps to 41bps, the 5-year spread had gained 5bps to 49bps while the 10-year spread finished 9bps lower at 47bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.91 | 0.10 | 0.39 |
| 90 Day | 2.33 | 0.03 | 0.18 |
| 180 Day | 2.90 | -0.04 | -0.06 |
| 1 Year | 3.28 | -0.05 | 0.05 |
| 3 Year | 3.51 | 0.03 | 0.05 |
| 5 Year | 3.68 | 0.03 | -0.04 |
| 10 Year | 3.88 | 0.07 | -0.03 |
| 15 Year | 3.96 | 0.09 | 0.01 |