Summary: 3-month BBSW steady, 6-month BBSW down 2bps; swap rates move almost-uniformly lower; swap spreads tighten.
3-month BBSW finished the week unchanged at 0.08% while 6-month BBSW lost 2bps to 0.27%.
Swap rates moved almost-uniformly lower along much of the curve, unlike their Commonwealth Government benchmarks which fell at the short end and rose elsewhere. By the end of the week, the 1-year rate had slipped 1bp to 0.66% while 3-year, 5-year, 10-year and 15-year rates all finished 4bps lower at 1.82%, 2.20%, 2.44% and 2.53% respectively.
As a result, swap spreads tightened. By the end of the week, the 3-year spread had lost 4bps to 31bps, the 5-year spread had shed 4bps to 27bps while the 10-year spread finished 8bps lower at 21bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.05 | 0.03 | 0.03 |
| 90 Day | 0.08 | 0.00 | 0.01 |
| 180 Day | 0.27 | -0.02 | 0.03 |
| 1 Year | 0.66 | -0.01 | 0.15 |
| 3 Year | 1.82 | -0.04 | 0.35 |
| 5 Year | 2.20 | -0.04 | 0.32 |
| 10 Year | 2.44 | -0.04 | 0.24 |
| 15 Year | 2.51 | -0.04 | 0.19 |