Summary: 3-month, 6-month BBSW both up 1bp; swap rates higher across curve; swap spreads tighter at long end.
3-month and 6-month BBSW both add 1bp to 0.02% and 0.04% respectively.
Swap rates increased by a modest amount at the very front of the curve but rose by more substantial amounts elsewhere. By the end of the week, the 1-year rate had crept up 1bp to 0.05%, the 3-year rate had added 6bps to 0.47%, the 5-year rate gained 8bps to 0.92%, the 10-year rate increased by 6bps to 1.52% while the 15-year rate finished 7bps higher at 1.83%.
As a result, swap spreads were pretty stable except at the long end. By the end of the week, the 3-year spread had ticked up 1bp to 17bps, the 5-year spread had returned to its starting point at 19bps while the 10-year spread finished 4bps lower at 11bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | 0.00 |
| 90 Day | 0.02 | 0.01 | 0.01 |
| 180 Day | 0.04 | 0.01 | 0.01 |
| 1 Year | 0.05 | 0.01 | 0.01 |
| 3 Year | 0.47 | 0.06 | 0.07 |
| 5 Year | 0.92 | 0.08 | 0.16 |
| 10 Year | 1.52 | 0.06 | 0.23 |
| 15 Year | 1.81 | 0.07 | 0.25 |