Summary: 3-month, 6-month BBSW both up 1bp; swap rates barely move, lagging ACGB counterparts; swap spreads wider.
3-month and 6-month BBSW both ticked up 1bp to 0.06% and 0.15% respectively.
Swap rates barely moved across the curve, lagging the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had added 2bps to 0.29% while 3-year, 5-year, 10-year and 15-year rates had all returned to their starting points at 1.23%, 1.59%, 1.93% and 2.08% respectively.
As a result, swap spreads widened along the curve. By the end of the week, the 3-year spread had gained 5bps to 32bps, the 5-year spread had widened by 7bps to 29bps while the 10-year spread finished 16bps higher at 32bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | -0.01 |
| 90 Day | 0.06 | 0.01 | 0.01 |
| 180 Day | 0.15 | 0.01 | 0.01 |
| 1 Year | 0.29 | 0.02 | 0.03 |
| 3 Year | 1.23 | 0.00 | 0.13 |
| 5 Year | 1.59 | 0.00 | 0.10 |
| 10 Year | 1.93 | 0.00 | 0.01 |
| 15 Year | 2.08 | 0.00 | -0.03 |