Summary: 3-month BBSW up 29bps, 6-month BBSW up 45bps; swap rates up sharply again; swap spreads fairly stable.
3-month BBSW gained 29bps to 1.80% over the week while 6-month BBSW finished 45bps higher at 2.79%.
Swap rates increased sharply again, generally in line with the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had returned to its starting point at 3.04%, the 3-year rate had increased by 52bps to 4.14%, the 5-year rate had gained 50bps to 4.42% while 10-year and 15-year rates each finished 44bps higher at 4.55% and 4.58% respectively.
As a result, swap spreads remained fairly stable along the curve. By the end of the week, the 3-year spread had slipped 1bp to 51bps, the 5-year spread had inched up 1bp to 48bps while the 10-year spread had tightened by 2bps to 42bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.04 | 0.19 | 0.70 |
| 90 Day | 1.80 | 0.29 | 0.83 |
| 180 Day | 2.79 | 0.45 | 1.03 |
| 1 Year | 3.04 | 0.00 | 0.68 |
| 3 Year | 4.14 | 0.52 | 1.02 |
| 5 Year | 4.42 | 0.50 | 0.98 |
| 10 Year | 4.55 | 0.44 | 0.87 |
| 15 Year | 4.58 | 0.44 | 0.83 |