Summary: 3-month, 6-month BBSW both up 8bps; swap rates rise; swap spreads widen.
3-month and 6-month BBSW both increased by 8bps to 2.41% and 2.98% respectively.
Swap rates rose along of the curve but by amounts less than the increases of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 10bps to 3.38%, the 3-year rate had added 13bps to3.64%, the 5-year rate had increased by 17bps to 3.85% while 10-year and 15-year rates each finished 16bps higher at 4.04% and 4.12% respectively.
As a result, swap spreads mostly widened across the curve. By the end of the week, the 3-year spread had gained 3bps to 44bps, the 5-year spread had added 4bps to 53bps while the 10-year spread finished 1bp lower at 46bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 2.00 | 0.09 | 0.40 |
| 90 Day | 2.41 | 0.08 | 0.17 |
| 180 Day | 2.98 | 0.08 | -0.07 |
| 1 Year | 3.38 | 0.10 | 0.10 |
| 3 Year | 3.64 | 0.13 | 0.26 |
| 5 Year | 3.85 | 0.17 | 0.25 |
| 10 Year | 4.04 | 0.16 | 0.29 |
| 15 Year | 4.12 | 0.16 | 0.33 |