Summary: 3-month BBSW steady, 6-month BBSW up 3bps; swap rates increase at short end, belly, fall further out; swap spreads tighter.
3-month BBSW remained steady at 0.06% while 6-month BBSW added 3bps to 0.18%.
Swap rates increased at the short end and at the belly but fell further out along the curve, unlike their Commonwealth Government benchmarks which all rose. By the end of the week, the 1-year rate had added 5bps to 0.34%, the 3-year and 5-year rates had both inched up 1bp to 1.24% and 1.60% respectively, the 10-year rate had shed 2bps to 1.91% while the 15-year rate finished 4bps lower at 2.04%.
As a result, swap spreads tightened along the curve. By the end of the week, the 3-year spread had slipped 1bp to 32bps, the 5-year spread had narrowed by 2bps to 27bps while the 10-year spread finished 5bps lower at 27bps.
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 | 0.01 | 0.00 |
| 90 Day | 0.06 | 0.00 | 0.02 |
| 180 Day | 0.18 | 0.03 | 0.05 |
| 1 Year | 0.34 | 0.05 | 0.03 |
| 3 Year | 1.24 | 0.01 | -0.04 |
| 5 Year | 1.60 | 0.01 | -0.07 |
| 10 Year | 1.91 | -0.02 | -0.13 |
| 15 Year | 2.04 | -0.04 | -0.17 |