Summary: 3-month BBSW up 2bps, 6-month BBSW up 3bps; swap rates fall except at long end; swap spreads tighten.
3-month BBSW added 2bps to 0.23% while 6-month BBSW finished the week 3bps higher at 0.71%.
Swap rates rose at the short end and the belly but fell at the long end, unlike their Commonwealth Government benchmarks which rose noticeably at the short end but less so elsewhere along the curve. By the end of the week, 1-year and 3-year rates had both gained 7bps to 1.25% and 2.65% respectively, the 5-year increased by 10bps to 2.99%, the 10-year rate slipped 1bp to 3.11% while the 15-year rate finished 5bps lower at 3.14%.
As a result, swap spreads tightened along the curve. By the end of the week, the 3-year spread had lost 9bps to 0.27%, the 5-year spread had shed 3bps to 36bps while the 10-year spread finished 6bps lower 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 | 0.02 | 0.00 | 0.00 |
| 90 Day | 0.23 | 0.02 | 0.15 |
| 180 Day | 0.71 | 0.03 | 0.44 |
| 1 Year | 1.25 | 0.07 | 0.61 |
| 3 Year | 2.65 | 0.07 | 0.78 |
| 5 Year | 2.99 | 0.10 | 0.75 |
| 10 Year | 3.11 | -0.01 | 0.67 |
| 15 Year | 3.14 | -0.05 | 0.57 |