Summary: 3-month, 6-month BBSW steady; swap rates fall at very front of curve, mostly move higher elsewhere; swap spreads generally widen modestly.
3-month and 6-month BBSW each finished the week unchanged at 0.08% and 0.27% respectively.
Swap rates fell at the very front of the curve but mostly moved higher elsewhere, unlike their Commonwealth Government benchmarks which rose at the short end and fell at the long end. By the end of the week, the 1-year rate had lost 2bps to 0.64%, the 3-year rate had gained 5bps to 1.87%, the 5-year rate added 4bps to 2.24%, the 10-year ended steady at 2.44% while the 15-year rate finished 6bps lower at 2.57%.
As a result, swap spreads generally widened modestly. By the end of the week, 3-year and 5-year spreads had each added 2bps to 33bps and 29bps respectively while the 10-year spread unchanged at 21bps.
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 | -0.03 | 0.00 |
| 90 Day | 0.08 | 0.00 | 0.01 |
| 180 Day | 0.27 | 0.00 | 0.03 |
| 1 Year | 0.64 | -0.02 | 0.06 |
| 3 Year | 1.87 | 0.05 | 0.31 |
| 5 Year | 2.24 | 0.04 | 0.32 |
| 10 Year | 2.44 | 0.00 | 0.24 |
| 15 Year | 2.57 | 0.06 | 0.26 |