Summary: 3-month BBSW up 9bps, 6-month BBSW up 3bps; swap rates rise; swap spreads widen.
3-month BBSW increased by 7bps to 2.19% while 6-month BBSW added 3bps to 2.81%.
Swap rates rose along of the curve, outpacing the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 20bps to 3.21%, the 3-year rate had jumped by 32bps to 3.31%, the 5-year rate had added 26bps to 3.47%, the 10-year rate had increased by 17bps to 3.64% while the 15-year rate finished 15bps higher at 3.72%.
As a result, swap spreads widened along of the curve. By the end of the week, the 3-year spread had jumped 17bps to 50bps, the 5-year spread had gained 15bps to 58bps while the 10-year spread finished 14bps higher at 55bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.79 | 0.14 | 0.64 |
| 90 Day | 2.19 | 0.07 | 0.38 |
| 180 Day | 2.81 | 0.03 | 0.16 |
| 1 Year | 3.21 | 0.20 | 0.18 |
| 3 Year | 3.31 | 0.32 | 0.00 |
| 5 Year | 3.47 | 0.26 | -0.19 |
| 10 Year | 3.64 | 0.17 | -0.29 |
| 15 Year | 3.72 | 0.15 | -0.25 |