Summary: 3-month BBSW steady, 6-month BBSW up 1bp; swap rates increase except at long end; swap spreads tighter.
3-month BBSW remained steady at 0.07% while 6-month BBSW inched up 1bp to 0.24%.
Swap rates increased along the curve with the exception of the long end, unlike their Commonwealth Government benchmarks which increased at all points. By the end of the week, the 1-year rate had added 4bps to 0.52%, the 3-year rate had gained 8bps to 1.47% and the 5-year rate had increased by 7bps to 1.85% while the 10-year rate returned to its starting point at 2.11% and the 15-year rate finished 2bps lower at 2.22%.
As a result, swap spreads narrowed along the curve. By the end of the week, the 3-year spread had shed 3bps to 35bps, the 5-year spread had narrowed by 2bps to 26bps and the 10-year spread finished 7bps lower 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 | 0.00 | 0.00 |
| 90 Day | 0.07 | 0.00 | 0.01 |
| 180 Day | 0.24 | 0.01 | 0.06 |
| 1 Year | 0.52 | 0.04 | 0.18 |
| 3 Year | 1.47 | 0.08 | 0.23 |
| 5 Year | 1.85 | 0.07 | 0.25 |
| 10 Year | 2.11 | 0.00 | 0.20 |
| 15 Year | 2.22 | -0.02 | 0.18 |