Summary: 3-month BBSW, 6-month BBSW both up 9bps; swap rates falls, contrasts with higher ACGB yields; swap spreads tighten.
3-month BBSW and 6-month BBSW both increased by 9bps to 2.24% and 3.05% respectively.
Swap rates fell along much of the curve, in contrast to the rises of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 5bps to 3.28%, the 3-year rate had lost 8bps to 3.38%, the 5-year rate had decreased by 12bps to 3.60% while 10-year and 15-year rates both finished 16bps lower at 3.75% and 3.79% respectively.
As a result, swap spreads tightened along of the curve. By the end of the week, the 3-year spread had shed 19bps to 29bps, the 5-year spread had lost 22bps to 37bps while the 10-year spread finished 19bps lower at 31bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.60 | 0.08 | 0.56 |
| 90 Day | 2.24 | 0.09 | 0.44 |
| 180 Day | 3.05 | 0.09 | 0.26 |
| 1 Year | 3.28 | 0.05 | 0.24 |
| 3 Year | 3.38 | -0.08 | -0.76 |
| 5 Year | 3.60 | -0.12 | -0.82 |
| 10 Year | 3.75 | -0.16 | -0.80 |
| 15 Year | 3.79 | -0.16 | -0.79 |