Summary: 3-month BBSW up 27bps, 6-month BBSW up 32bps; swap rates up sharply again; swap spreads widen noticeably.
3-month BBSW gained 27bps to 1.51% over the week while 6-month BBSW finished 32bps higher at 2.34%.
Swap rates increased sharply again, outpacing the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had jumped 42bps to 3.04%, 3-year and 5-year rates had each increased by 27bps to 3.62% and 3.92% respectively, the 10-year rate had added 26bps to 4.11% while the 15-year rate finished 24bps higher at 4.14%.
As a result, swap spreads again widened noticeably along the curve. By the end of the week, the 3-year spread had jumped another 12bps to 52bps, the 5-year spread had gained 11bps to 49bps while the 10-year spread had widened by 7bps to 44bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.85 | 0.26 | 0.57 |
| 90 Day | 1.51 | 0.27 | 0.59 |
| 180 Day | 2.34 | 0.32 | 0.57 |
| 1 Year | 3.04 | 0.42 | 0.52 |
| 3 Year | 3.62 | 0.27 | 0.26 |
| 5 Year | 3.92 | 0.27 | 0.29 |
| 10 Year | 4.11 | 0.26 | 0.24 |
| 15 Year | 4.14 | 0.24 | 0.23 |