Summary: 3-month BBSW up 5bps, 6-month BBSW down 1bp; swap rates down noticeably; swap spreads tighten.
3-month BBSW added 5bps to 0.97% over the week while 6-month BBSW finished 1bp lower at 1.76%.
Swap rates fell noticeably, generally in line with their ACGB benchmarks at the short-end but by considerable more further out along the curve. By the end of the week, the 1-year rate had lost 16bps to 2.36%, the 3-year rate had shed 24bps to 3.12%, 5-year and 10-year rates had both decreased by 19bps to 3.44% and 3.68% while the 15-year rate finished 16bps lower at 3.75%.
As a result, swap spreads tightened along the curve. By the end of the week, the 3-year spread had lost 4bps to 30bps, the 5-year spread had slipped 11bp to 40bps while the 10-year spread had tightened by 12bps to 29bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.34 | 0.06 | 0.31 |
| 90 Day | 0.97 | 0.05 | 0.67 |
| 180 Day | 1.76 | -0.01 | 0.89 |
| 1 Year | 2.36 | -0.16 | 0.87 |
| 3 Year | 3.12 | -0.24 | 0.47 |
| 5 Year | 3.44 | -0.19 | 0.45 |
| 10 Year | 3.68 | -0.19 | 0.43 |
| 15 Year | 3.75 | -0.16 | 0.61 |