Summary: 3-month, 6-month BBSW up 3bps, 8bps respectively; swap rates up less than ACGB counterparts at short end, more at long end; swap spreads considerably tighter except at “belly”.
3-month BBSW added 3bps to 0.07% while 6-month BBSW gained 8bps to 0.20%.
Swap rates increased noticeably, less than their Commonwealth Government benchmarks at the short end but by more at the long end. By the end of the week, the 1-year rate had gained 20bps to 0.42%, the 3-year rate had added 29bps to 1.32%, the 5-year rate had increased by 35bps to 1.74%, the 10-year rate had risen by 21bps to 2.09% while the 15-year rate finished 18bps higher at 2.29%.
As a result, swap spreads tightened considerably along the curve except at the “belly” where they barely moved. By the end of the week, the 3-year spread had lost 9bps to 11bps, the 5-year spread had slipped 1bp to 19bps while the 10-year spread also finished 9bps tighter at 1bp.
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 | 0.01 | 0.01 |
| 90 Day | 0.07 | 0.03 | 0.05 |
| 180 Day | 0.20 | 0.08 | 0.15 |
| 1 Year | 0.42 | 0.20 | 0.36 |
| 3 Year | 1.32 | 0.39 | 0.81 |
| 5 Year | 1.74 | 0.35 | 0.75 |
| 10 Year | 2.09 | 0.21 | 0.45 |
| 15 Year | 2.29 | 0.18 | 0.37 |