Summary: 3-month BBSW down 12bps, 6-month BBSW down 27bps; swap rates falls; swap spreads widen.
3-month BBSW decreased by 12bps to 2.12% while 6-month BBSW shed 27bps to 2.78%.
Swap rates fell along of the curve but lagged the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had shed 27bps to 3.01%, 3-year and 5-year rates had both lost 39bps to 2.99% and 3.21% respectively, the 10-year rate had decreased by 28bps to 3.47% while the 15-year rate finished 22bps lower at 3.57%.
As a result, swap spreads widened along of the curve. By the end of the week, the 3-year spread had added 4bps to 33bps, the 5-year spread had gained 6bps to 43bps while the 10-year spread finished 10bps higher at 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 | 1.65 | 0.05 | 0.59 |
| 90 Day | 2.12 | -0.12 | 0.38 |
| 180 Day | 2.78 | -0.27 | 0.19 |
| 1 Year | 3.01 | -0.27 | -0.10 |
| 3 Year | 2.99 | -0.39 | -0.64 |
| 5 Year | 3.21 | -0.39 | -0.74 |
| 10 Year | 3.47 | -0.28 | -0.68 |
| 15 Year | 3.57 | -0.22 | -0.61 |