Summary: 3-month BBSW up 11bps, 6-month BBSW up 13bps; swap rates rise; swap spreads narrow.
3-month BBSW increased by 11bps to 2.30% while 6-month BBSW added 13bps to 2.94%.
Swap rates rose along of the curve, lagging the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 12bps to 3.33%, the 3-year rate had increased by 17bps to 3.48%, the 5-year rate had added 18bps to 3.65%, the 10-year rate had increased by 17bps to 3.81% while the 15-year rate finished 15bps higher at 3.87%.
As a result, swap spreads narrowed along of the curve. By the end of the week, the 3-year spread had shed 12bps to 38bps, the 5-year spread had lost 14bps to 44bps while the 10-year spread finished 17bps lower at 38bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.81 | 0.02 | 0.43 |
| 90 Day | 2.30 | 0.11 | 0.34 |
| 180 Day | 2.94 | 0.13 | 0.16 |
| 1 Year | 3.33 | 0.12 | 0.17 |
| 3 Year | 3.48 | 0.17 | -0.01 |
| 5 Year | 3.65 | 0.18 | -0.13 |
| 10 Year | 3.81 | 0.17 | -0.20 |
| 15 Year | 3.87 | 0.15 | -0.19 |