Summary: 3-month BBSW up 15bps, 6-month BBSW up 13bps; swap rates rise in contrast to ACGB yields; swap spreads widen considerably.
3-month BBSW increased by 15bps to 1.96% over the week while 6-month BBSW finished 13bps higher at 2.78%.
Swap rates increased along the curve, in contrast with the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 13bps to 3.16%, the 3-year rate had added 18bps to 3.49%, the 5-year rate had increased by 12bps to 3.78%, the 10-year rate had gained 8bps to 4.01% while the 15-year rate finished 9bps higher at 4.06%.
As a result, swap spreads widened considerably along of the curve. By the end of the week, the 3-year spread had jumped 19bps to 53bps, the 5-year spread had gained 18bps to 63bps while the 10-year spread finished 19bps lower at 53bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.38 | 0.23 | 0.79 |
| 90 Day | 1.96 | 0.15 | 0.72 |
| 180 Day | 2.78 | 0.13 | 0.76 |
| 1 Year | 3.16 | 0.13 | 0.54 |
| 3 Year | 3.49 | 0.18 | 0.14 |
| 5 Year | 3.78 | 0.12 | 0.13 |
| 10 Year | 4.01 | 0.08 | 0.16 |
| 15 Year | 4.06 | 0.09 | 0.16 |