Summary: 3-month BBSW up 1bp, 6-month BBSW up 7bps; swap rates increase markedly again; swap spreads tighten somewhat.
3-month BBSW added 1bp to 0.08% while 6-month BBSW gained 7bps to 0.29%.
Swap rates increased markedly along much of the curve for a second week, although not quite as much as Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 8bps to 0.67%, the 3-year rate had added 19bps to 1.86%, the 5-year rate had increased by 20bps to 2.24%, the 10-year rate had risen by 21bps to 2.48% while the 15-year rate finished 20bps higher at 2.57%.
As a result, swap spreads tightened somewhat. By the end of the week, the 3-year spread had lost 9bps to 35bps, the 5-year spread had shed 8bps to 31bps while the 10-year spread finished 3bps 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 | 0.08 | 0.01 | 0.01 |
| 180 Day | 0.29 | 0.07 | 0.05 |
| 1 Year | 0.67 | 0.08 | 0.16 |
| 3 Year | 1.86 | 0.19 | 0.39 |
| 5 Year | 2.24 | 0.20 | 0.36 |
| 10 Year | 2.48 | 0.21 | 0.28 |
| 15 Year | 2.55 | 0.18 | 0.23 |