Summary: 3-month down 2bps, 6-month BBSW down 6bps; swap rates generally down but by less than ACGB counterparts; swap spreads wider except at “belly”.
3-month BBSW shed 2bps to 0.05% while 6-month BBSW lost 6bps to 0.14%.
Swap rates generally declined noticeably less than their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had shed 16bps to 0.26%, the 3-year rate had lost 22bps to 1.10%, the 5-year rate had decreased by 25bps to 1.49%, the 10-year rate had fallen by 17bps to 1.92% while the 15-year rate finished 18bps lower at 2.11%.
As a result, swap spreads widened along the curve except at the belly where they tightened moderately. By the end of the week, the 3-year spread had gained 7bps to 18bps, the 5-year spread had lost 3bps to 16bps while the 10-year spread finished 10bps tighter at 11bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.02 | 0.01 | 0.01 |
| 90 Day | 0.05 | -0.02 | 0.03 |
| 180 Day | 0.14 | -0.06 | 0.08 |
| 1 Year | 0.26 | -0.16 | 0.15 |
| 3 Year | 1.10 | -0.22 | 0.46 |
| 5 Year | 1.49 | -0.25 | 0.38 |
| 10 Year | 1.92 | -0.17 | 0.16 |
| 15 Year | 2.11 | -0.18 | 0.08 |