Summary: 3-month, 6-month BBSW each slip 1bp; swap rates up, unlike ACGB counterparts; swap spreads wider.
3-month and 6-month BBSW each slipped 1bp to 0.04% and 0.13% respectively.
Swap rates increased across the curve, unlike their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had added 5ps to 0.31%, 3-year and 5-year rates had each gained 18bps to 1.28% and 1.67% respectively, the 10-year rate had increased by 12bps to 2.04% while the 15-year rate finished 10bps higher at 2.21%.
As a result, swap spreads widened along the curve. By the end of the week, the 3-year spread had gained 6bps to 24bps, the 5-year spread had added 8bps to 24bps while the 10-year spread finished 13bps tighter 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 | 0.02 | 0.00 | 0.01 |
| 90 Day | 0.04 | -0.01 | 0.01 |
| 180 Day | 0.13 | -0.01 | 0.06 |
| 1 Year | 0.31 | 0.05 | 0.16 |
| 3 Year | 1.28 | 0.18 | 0.51 |
| 5 Year | 1.67 | 0.18 | 0.44 |
| 10 Year | 2.04 | 0.12 | 0.26 |
| 15 Year | 2.21 | 0.10 | 0.17 |