Summary: 3-month BBSW up 25bps, 6-month BBSW up 31bps; swap rates up significantly; swap spreads widen.
3-month BBSW gained 25bps to 0.71% over the week while 6-month BBSW finished 31bps higher at 1.45%.
Swap rates moved up significantly, unlike their ACGB counterparts. By the end of the week, the 1-year rate had gained 24bps to 2.11%, the 3-year rate had added 14bps to 3.12%, the 5-year rate had increased by 16bps to 3.42%, the 10-year rate had risen by 17bps to 3.59% while the 15-year rate finished 18bps higher at 3.63%.
As a result, swap spreads widened noticeably along the curve. By the end of the week, the 3-year spread had gained 12bps to 0.41%, the 5-year spread had increased by 18bps to 52bps while the 10-year spread had widened by 17bps to 47bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.21 | 0.14 | 0.19 |
| 90 Day | 0.71 | 0.25 | 0.50 |
| 180 Day | 1.45 | 0.31 | 0.77 |
| 1 Year | 2.11 | 0.24 | 0.93 |
| 3 Year | 3.12 | 0.14 | 0.54 |
| 5 Year | 3.42 | 0.16 | 0.53 |
| 10 Year | 3.59 | 0.17 | 0.47 |
| 15 Year | 3.63 | 0.18 | 0.44 |