Summary: 3-month BBSW up 1bp, 6-month BBSW up 2bps; swap rates increase; swap spreads narrow at front of curve, widen at long end.
3-month BBSW ticked up 1bp to 0.08% while 6-month BBSW gained 2bps to 0.26%.
Swap rates increased along the curve, especially at the “belly”, unlike their Commonwealth Government benchmarks which jumped at the front end while creeping up elsewhere. By the end of the week, the 1-year rate had added 6bps to 0.58%, the 3-year rate had gained 8bps to 1.55%, the 5-year rate had increased by 7bps to 1.92%, the 10-year rate had risen by 6bps to 2.17% while the 15-year rate finished 5bps higher at 2.37%.
As a result, swap spreads narrowed at the front of the curve but widened at the long end. By the end of the week, the 3-year spread had shed 3bps to 32bps, the 5-year spread had returned to its starting point at 26bps while the 10-year spread finished 3bps higher at 24bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | -0.01 | -0.01 |
| 90 Day | 0.08 | 0.01 | 0.02 |
| 180 Day | 0.26 | 0.02 | 0.08 |
| 1 Year | 0.58 | 0.06 | 0.24 |
| 3 Year | 1.55 | 0.08 | 0.31 |
| 5 Year | 1.92 | 0.07 | 0.32 |
| 10 Year | 2.17 | 0.06 | 0.26 |
| 15 Year | 2.27 | 0.05 | 0.23 |