Summary: 3-month BBSW up 19bps, 6-month BBSW up 18bps; swap rates falls outpace lower ACGB yields; swap spreads tighten.
3-month BBSW increased by 19bps to 2.15% over the week while 6-month BBSW finished 18bps higher at 2.96%.
Swap rates decreased along much of the curve but generally outpaced the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 7bps to 3.23%, the 3-year rate had lost 3bps to 3.46%, the 5-year rate had decreased by 6bps to 3.72%, the 10-year rate had shed 10bps to 3.91% while the 15-year rate finished 11bps lower at 3.95%.
As a result, swap spreads tightened along of the curve. By the end of the week, the 3-year spread had lost 5bps to 48bps, the 5-year spread had shed 4bps to 59bps while the 10-year spread finished 3bps lower at 50bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.52 | 0.14 | 0.67 |
| 90 Day | 2.15 | 0.19 | 0.64 |
| 180 Day | 2.96 | 0.18 | 0.62 |
| 1 Year | 3.23 | 0.07 | 0.19 |
| 3 Year | 3.46 | -0.03 | -0.16 |
| 5 Year | 3.72 | -0.06 | -0.20 |
| 10 Year | 3.91 | -0.10 | -0.20 |
| 15 Year | 3.95 | -0.11 | -0.19 |