Summary: 3-month BBSW up 4bps, 6-month BBSW up 11bps; swap rates rise at very front of curve, unchanged elsewhere; swap spreads widen noticeably.
3-month BBSW gained 4bps to 0.12% while 6-month BBSW finished the week 11bps higher 0.38%.
Swap rates rose at the very front of the curve but remained unchanged elsewhere, unlike their Commonwealth Government benchmarks which all fell. By the end of the week, the 1-year rate had added 6bps to 0.70% while 3-year, 5-year, 10-year and 15-year rates all finished unchanged at 1.87%, 2.24%, 2.44% and 2.57% respectively.
As a result, swap spreads widened noticeably. By the end of the week, the 3-year spread had gained 10bps to 0.43%, the 5-year spread had increased by 9bps to 38bps while the 10-year spread finished 9bps higher at 30bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.02 | 0.00 | 0.01 |
| 90 Day | 0.12 | 0.04 | 0.04 |
| 180 Day | 0.38 | 0.11 | 0.12 |
| 1 Year | 0.70 | 0.06 | 0.12 |
| 3 Year | 1.87 | 0.00 | 0.32 |
| 5 Year | 2.24 | 0.00 | 0.32 |
| 10 Year | 2.44 | 0.00 | 0.27 |
| 15 Year | 2.57 | 0.00 | 0.30 |