Summary: 3-month steady at 0.02%, 6-month BBSW up 1bp to 0.06%; swap rates higher across curve; swap spreads tighter.
3-month BBSW remained unchanged at 0.02% while 6-month BBSW inched up 1bp to 0.06%.
Swap rates increased by almost-uniform amounts except at the very front of the curve, generally lagging the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had added 5bps to 0.11%, the 3-year rate had gained 13bps to 0.64%, 5-year and 10-year rates had each increased by 12ps to 1.11% and 1.76% respectively while the 15-year rate finished 11bps higher at 2.03%.
As a result, swap spreads were tightened modestly. By the end of the week, the 3-year spread had shed 2bps to 16bps and 5-year and 10-year spreads had each lost 3bps to 18bps and 12bps respectively.
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 | 0.00 |
| 90 Day | 0.02 | 0.00 | 0.01 |
| 180 Day | 0.06 | 0.01 | 0.03 |
| 1 Year | 0.11 | 0.05 | 0.07 |
| 3 Year | 0.64 | 0.13 | 0.24 |
| 5 Year | 1.11 | 0.12 | 0.33 |
| 10 Year | 1.76 | 0.12 | 0.38 |
| 15 Year | 2.03 | 0.11 | 0.37 |