Summary: 3-month, 6-month BBSW unchanged; swap rates higher across curve; spreads wider.
3-month and 6-month BBSW both remained unchanged at 0.01% and 0.03% respectively.
Swap rates were stable at the front of the curve, lower at the “belly” but higher at the long end, somewhat in line with their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had returned to its starting point at 0.04%, the 3-year rate had shed 2bps to 0.40%, the 5-year rate had slipped 1bp to 0.78%, the 10-year had inched up 1bp to 1.38% while the 15-year rate finished 2bps higher at 1.66%.
As a result, swap spreads were largely unchanged. At the end of the week, the 3-year spread had returned to 14bps, the 5-year spread had tightened by 1bp to 14bps while the 10-year spread finished unchanged at 15bps.
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 | 0.01 | 0.00 | -0.01 |
| 180 Day | 0.03 | 0.00 | -0.01 |
| 1 Year | 0.04 | 0.00 | 0.00 |
| 3 Year | 0.40 | -0.02 | 0.00 |
| 5 Year | 0.78 | -0.01 | 0.03 |
| 10 Year | 1.38 | 0.01 | 0.10 |
| 15 Year | 1.66 | 0.02 | 0.10 |