Summary: 3-month BBSW up 1bp, 6-month BBSW up 2bps; swap rates higher except at “belly”; spreads lower except at long end.
3-month BBSW inched up 1bp to 0.03% while 6-month BBSW added 2bps to 0.07%.
Swap rates moved higher except at the “belly” of the curve after the 5-year partially reversed the previous week’s jump, unlike their Commonwealth Government benchmarks which fell except at the front of the curve. By the end of the week, the 1-year rate had added 2bps to 0.08%, the 3-year rate had crept up 1bp to 0.48%, the 5-year rate had shed 2bps to 0.92%, the 10-year rate had gained 6bps to 1.62% while the 15-year rate finished 4bps higher at 1.92%.
As a result, swap spreads fell at the short end and the belly but rose at the long end. By the end of the week, the 3-year spread had lost 3bps to 1bp, the 5-year spread had decreased by 4bps to 4bps while the 10-year spread had gained 4bps to 5bps.
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 | 0.03 | 0.01 | -0.01 |
| 180 Day | 0.07 | 0.02 | -0.02 |
| 1 Year | 0.08 | 0.02 | 0.03 |
| 3 Year | 0.48 | 0.01 | 0.14 |
| 5 Year | 0.92 | -0.02 | 0.07 |
| 10 Year | 1.62 | 0.06 | -0.06 |
| 15 Year | 1.92 | 0.04 | -0.14 |