Summary: 3-month BBSW up 3bps, 6-month BBSW up 13bps; swap rates rise; swap spreads tighten.
3-month BBSW added 3bps to 0.15% while 6-month BBSW finished the week 13bps higher at 0.51%.
Swap rates rose significantly all along the curve but not quite as much as their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had added 18bps to 0.88% while 3-year and 5-year both gained 15bps to 2.02% and 2.39% respectively. The 10-year rate increased by 20bps to 2.64% while the 15-year rate finished 15bps higher at 2.72%.
As a result, swap spreads tightened. By the end of the week, the 3-year spread had shed 8bps to 0.35%, the 5-year spread had lost 10bps to 28bps while the 10-year spread finished 4bps lower at 26bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
---|---|---|---|
30 Day | 0.03 | 0.01 | 0.01 |
90 Day | 0.15 | 0.03 | 0.08 |
180 Day | 0.51 | 0.13 | 0.29 |
1 Year | 0.88 | 0.18 | 0.29 |
3 Year | 2.02 | 0.15 | 0.35 |
5 Year | 2.39 | 0.15 | 0.35 |
10 Year | 2.64 | 0.20 | 0.37 |
15 Year | 2.72 | 0.15 | 0.35 |