Summary: 3-month BBSW down 1bp, 6-month BBSW down 4bps; swap rates increase markedly; swap spreads widen.
3-month BBSW slipped 1bp to 0.07% while 6-month BBSW shed 4bps to 0.22%.
Swap rates increased markedly along much of the curve, unlike their Commonwealth Government benchmarks which declined the front end. By the end of the week, the 1-year rate had crept up 1bp to 0.59%, 3-year and 5-year rates had both gained 12bps to 1.67% and 2.04% respectively while 10-year and 15-year rates both finished 10bps higher at 2.27 and 2.37% respectively.
As a result, swap spreads also widened markedly. By the end of the week, the 3-year spread had gained 12bps to 44bps, the 5-year spread had added 13bps to 39bps while the 10-year spread finished 8bps higher at 32bps.
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 | 0.02 | 0.01 | 0.00 |
| 90 Day | 0.07 | -0.01 | 0.01 |
| 180 Day | 0.22 | -0.04 | 0.04 |
| 1 Year | 0.59 | 0.01 | 0.25 |
| 3 Year | 1.67 | 0.12 | 0.43 |
| 5 Year | 2.04 | 0.12 | 0.44 |
| 10 Year | 2.27 | 0.10 | 0.36 |
| 15 Year | 2.37 | 0.10 | 0.33 |