Summary: 3-month BBSW up 9bps, 6-month BBSW up 7bps; swap rates up modestly; swap spreads widen.
3-month BBSW gained 9bps to 1.13% over the week while 6-month BBSW finished 7bps higher at 1.88%.
Swap rates increased by modest amounts at most points along the curve, in contrast with the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 11bps to 2.41%, 3-year and 5-year rates had both inched up 1bp to 3.05% and 3.34% respectively, the 10-year rate had added 3bps to 3.55% while the 15-year rate finished 4bps higher at 3.63%.
As a result, swap spreads widened along the curve. By the end of the week, 3-year and 5-year spreads had both gained 5bps to 29bps and 37bps respectively while the 10-year spread had widened by 9bps to 31bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.49 | 0.08 | 0.42 |
| 90 Day | 1.13 | 0.09 | 0.67 |
| 180 Day | 1.88 | 0.07 | 0.74 |
| 1 Year | 2.41 | 0.11 | 0.54 |
| 3 Year | 3.05 | 0.01 | 0.07 |
| 5 Year | 3.34 | 0.01 | 0.08 |
| 10 Year | 3.55 | 0.03 | 0.13 |
| 15 Year | 3.63 | 0.04 | 0.18 |