Summary: 3-month BBSW up 4bps, 6-month BBSW up 14bps; swap rates rise substantially; swap spreads stable at front of curve, widen elsewhere.
3-month BBSW gained 4bps to 0.21% while 6-month BBSW finished the week 14bps higher at 0.68%.
Swap rates rose substantially along the curve, generally outrunning their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had risen by 25bps to 1.18%, the 3-year rate had jumped 44bps to 2.38%, 5-year and 10-year rates had both gained 36bps to 2.89% and 3.12% respectively while the 15-year rate finished 35bps higher at 3.19%.
As a result, swap spreads remained fairly stable at the short end but widened further out along the curve. By the end of the week, the 3-year spread had slipped 1bps to 0.36%, the 5-year spread had gained 10bps to 39bps while the 10-year spread finished 15bps higher at 35bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.02 | 0.01 | -0.03 |
| 90 Day | 0.21 | 0.04 | 0.13 |
| 180 Day | 0.68 | 0.14 | 0.41 |
| 1 Year | 1.18 | 0.25 | 0.52 |
| 3 Year | 2.58 | 0.44 | 0.76 |
| 5 Year | 2.89 | 0.36 | 0.69 |
| 10 Year | 3.12 | 0.36 | 0.68 |
| 15 Year | 3.19 | 0.35 | 0.68 |