Summary: 3-month BBSW up 21bps, 6-month BBSW up 32bps; swap rates again up significantly; swap spreads tighten.
3-month BBSW gained 21bps to 0.92% over the week while 6-month BBSW finished 32bps higher at 1.77%.
Swap rates moved up significantly again but not quite as much as their ACGB benchmarks. By the end of the week, the 1-year rate had jumped by 41bps to 2.52%, the 3-year rate had added 24bps to 3.36%, the 5-year rate had increased by 21bps to 3.63% while 10-year and 15-year rates had both risen by 28bps to 3.87% and 3.91% respectively.
As a result, swap spreads tightened along the curve. By the end of the week, the 3-year spread had shed 7bps to 34bps, the 5-year spread had lost 11bps to 41bps while the 10-year spread had tightened by 6bps to 41bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.28 | 0.07 | 0.26 |
| 90 Day | 0.92 | 0.21 | 0.69 |
| 180 Day | 1.77 | 0.32 | 1.06 |
| 1 Year | 2.52 | 0.41 | 1.27 |
| 3 Year | 3.36 | 0.24 | 0.71 |
| 5 Year | 3.63 | 0.21 | 0.64 |
| 10 Year | 3.87 | 0.28 | 0.76 |
| 15 Year | 3.91 | 0.28 | 0.77 |