Summary: 3-month BBSW slips 1bp, 6-month BBSW unchanged; swap rates rise, jumps at “belly”; spreads’ movements mixed.
3-month BBSW slipped 1bp to 0.02% while 6-month BBSW remained unchanged at 0.05%.
Swap rates jumped noticeably at the “belly” but generally rose modestly elsewhere along the curve, unlike their Commonwealth Government benchmarks which rose by decreasing amounts along the curve. By the end of the week, the 1-year rate had increased by 2bps to 0.06%, the 3-year rate had gained 18bps to 0.47%, the 5-year rate had jumped 20bps to 0.94%, the 10-year rate had added 2bps to 1.56% while the 15-year rate finished 2bps lower at 1.88%.
As a result, swap spreads moved in all directions. By the end of the week, the 3-year spread remained unchanged at 4bps, the 5-year spread had increased by 4bps to 8bps while the 10-year spread had shed 9bps to 1bps.
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 | 0.00 |
| 90 Day | 0.02 | -0.01 | -0.02 |
| 180 Day | 0.05 | 0.00 | -0.05 |
| 1 Year | 0.06 | 0.02 | 0.01 |
| 3 Year | 0.47 | 0.18 | 0.17 |
| 5 Year | 0.94 | 0.20 | 0.11 |
| 10 Year | 1.56 | 0.02 | -0.15 |
| 15 Year | 1.88 | -0.02 | -0.22 |