Summary: 3-month BBSW unchanged, 6-month BBSW slips 1bp; swap rates higher across curve; spreads increase.
3-month BBSW remained unchanged at 0.02% while 6-month BBSW slipped another basis point to 0.04%.
Swap rates rose along the curve, outpacing their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had returned to its starting point at 0.04%, 3-year and 5-year rates had each gained 8bps to 0.43% and 0.77% while 10-year and 15-year rates each finished 4bps to 1.32% and 1.63% respectively.
As a result, swap spreads widened. By the end of the week, the 3-year spread had widened by 3bps to 13bps, the 5-year spread had increased by 4bps to 14bps while the 10-year spread widened by 3bps to 13bps.
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 | 0.00 | -0.01 |
| 180 Day | 0.04 | -0.01 | -0.03 |
| 1 Year | 0.04 | 0.00 | -0.02 |
| 3 Year | 0.43 | 0.08 | 0.02 |
| 5 Year | 0.77 | 0.08 | -0.04 |
| 10 Year | 1.32 | 0.04 | -0.13 |
| 15 Year | 1.61 | 0.04 | -0.12 |