Summary: 3-month BBSW up 15bps, 6-month BBSW up 27bps; swap rates up; swap spreads widen, especially at short end of curve.
3-month BBSW gained 15bps to 0.46% over the week while 6-month BBSW finished 27bps higher at 1.14%.
Swap rates moved in a similar pattern to their ACGB counterparts but with greater magnitudes, especially at the short end of the curve. By the end of the week, the 1-year rate had jumped 39bps to 1.87%, the 3-year rate had gained 38bps to 2.98%, the 5-year rate had increased by 31bps to 3.26%, the 10-year rate had risen by 16bps to 3.42% while the 15-year rate finished 10bps higher at 3.45%.
As such, swap spreads widened along the curve, especially at the short end. By the end of the week, the 3-year spread had gained 6bps to 0.29% while 5-year and 10-year spreads had both inched up 1bp to 34bps and 30bps respectively.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.07 | 0.04 | 0.06 |
| 90 Day | 0.46 | 0.15 | 0.29 |
| 180 Day | 1.14 | 0.27 | 0.60 |
| 1 Year | 1.87 | 0.39 | 0.94 |
| 3 Year | 2.98 | 0.38 | 0.84 |
| 5 Year | 3.26 | 0.31 | 0.73 |
| 10 Year | 3.42 | 0.16 | 0.66 |
| 15 Year | 3.45 | 0.10 | 0.61 |