Summary: 3-month BBSW up 7bps, 6-month BBSW up 16bps; swap rates behave erratically; swap spreads tighten.
3-month BBSW gained 7bps to 0.30% while 6-month BBSW finished the week 16bps higher at 0.87%.
Swap rates behaved somewhat erratically. By the end of the week, the 1-year rate had jumped 24bps to 1.49%, 3-year and 5-year rates had both returned to their respective starting points at 2.65% and 2.99%, the 10-year rate had added 14bps to 3.25% while the 15-year rate finished unchanged at 3.14%.
As such, swap spreads tightened along the curve. By the end of the week, the 3-year spread had lost 16bps to 0.11%, the 5-year spread had shed 13bps to 23bps 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 | 0.01 | 0.01 |
| 90 Day | 0.30 | 0.07 | 0.18 |
| 180 Day | 0.87 | 0.16 | 0.49 |
| 1 Year | 1.49 | 0.24 | 0.79 |
| 3 Year | 2.65 | 0.00 | 0.78 |
| 5 Year | 2.99 | 0.00 | 0.75 |
| 10 Year | 3.25 | 0.14 | 0.81 |
| 15 Year | 3.14 | 0.00 | 0.57 |