Summary: 3-month unchanged, 6-month BBSW up 1bp; swap rates fall, outpaces ACGB counterparts; swap spreads tighter.
3-month BBSW remained unchanged at 0.05% while 6-month BBSW ticked up 1bp to 0.14%.
Swap rates fell across the curve, outpacing the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had slipped 1bp to 0.27%, the 3-year rate had lost 8bps to 1.23% while 5-year, 10-year and 15-year rates had each shed 14bps to 1.59%, 1.93% and 2.08% respectively.
As a result, swap spreads narrowed along the curve. By the end of the week, the 3-year spread had lost 7bps to 28bps, the 5-year spread had tightened by 13bps to 22bps while the 10-year spread finished 9bps tighter at 16bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | 0.00 |
| 90 Day | 0.05 | 0.00 | -0.02 |
| 180 Day | 0.14 | 0.01 | -0.06 |
| 1 Year | 0.27 | -0.01 | -0.15 |
| 3 Year | 1.23 | -0.08 | -0.09 |
| 5 Year | 1.59 | -0.14 | -0.15 |
| 10 Year | 1.93 | -0.14 | -0.16 |
| 15 Year | 2.08 | -0.14 | -0.21 |