Summary: 3-month BBSW up 7bps, 6-month BBSW up 6bps; swap rates fall noticeably; swap spreads tighter.
3-month BBSW added 7bps to 1.81% over the week while 6-month BBSW finished 6bps higher at 2.65%.
Swap rates fell noticeably along much of the curve, outpacing the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had lost 8bps to 3.03%, the 3-year rate had shed 32bps to 3.31%, the 5-year rate had lost 29bps to 3.66%, the 10-year rate had decreased by 22bps to 3.93 while the 15-year rate finished 21bps lower at 3.97%.
As a result, swap spreads tightened along of the curve. By the end of the week, 3-year and 5-year spreads had both lost 8bps to 34bps and 45bps respectively while the 10-year spread finished 7bps lower at 34bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.15 | 0.09 | 0.66 |
| 90 Day | 1.81 | 0.07 | 0.68 |
| 180 Day | 2.65 | 0.06 | 0.77 |
| 1 Year | 3.03 | -0.08 | 0.62 |
| 3 Year | 3.31 | -0.32 | 0.26 |
| 5 Year | 3.66 | -0.29 | 0.32 |
| 10 Year | 3.93 | -0.22 | 0.38 |
| 15 Year | 3.97 | -0.21 | 0.34 |