Summary: 3-month BBSW up 1bp, 6-month BBSW unchanged; swap rates decline at short end, “belly”, increase further out along the curve; swap spreads widen with exception of long end.
3-month BBSW crept up 1bp to 0.31% while 6-month BBSW finished the week unchanged at 0.87%.
Swap rates declined at the short end and the “belly” but increased further out along the curve. By the end of the week, the 1-year rate had slipped 1bp to 1.48%, the 3-year rate had shed 5bps to 2.60% and the 5-year rate had lost 4bps to 2.95%. In contrast, the 10-year rate inched up 1bp over the week to 3.26% while the 15-year rate finished 21bps higher at 3.35%.
As such, swap spreads widened along the curve with the exception of the long end where spreads remained stable. By the end of the week, the 3-year spread had gained 12bps to 0.23%, the 5-year spread had added 10bps to 33bps while the 10-year spread finished unchanged at 29bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.03 | 0.00 | 0.00 |
| 90 Day | 0.31 | 0.01 | 0.16 |
| 180 Day | 0.87 | 0.00 | 0.36 |
| 1 Year | 1.48 | -0.01 | 0.60 |
| 3 Year | 2.60 | -0.05 | 0.58 |
| 5 Year | 2.95 | -0.04 | 0.56 |
| 10 Year | 3.26 | 0.01 | 0.62 |
| 15 Year | 3.35 | 0.21 | 0.63 |