Summary: 3-month, 6-month BBSW up; swap rates up; swap spreads wider at short end, tighter at long end;
3-month BBSW ticked up 1bp to 0.04% while 6-month BBSW added 5bps to 0.12%.
Swap rates increased noticeably, more than their Commonwealth Government benchmarks at the short end but somewhat less elsewhere along the curve. By the end of the week, the 1-year rate had gained 7bps to 0.22%, 3-year and 5-year rates had both increased by 16bps to 0.93% and 1.39% respectively, the 10-year rates had added 10bps to 1.88% while the 15-year rate finished 7bps higher at 2.11%.
As a result, swap spreads widened at the short end and tightened at the long end. By the end of the week, the 3-year spread had gained 3bps to 20bps, the 5-year spread had lost 1bp to 20bps while the 10-year spread finished 3bps tighter at 10bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.00 | -0.01 | -0.01 |
| 90 Day | 0.04 | 0.01 | 0.02 |
| 180 Day | 0.12 | 0.05 | 0.08 |
| 1 Year | 0.22 | 0.07 | 0.17 |
| 3 Year | 0.93 | 0.16 | 0.46 |
| 5 Year | 1.39 | 0.16 | 0.47 |
| 10 Year | 1.88 | 0.10 | 0.36 |
| 15 Year | 2.11 | 0.07 | 0.30 |