Summary: 3-month BBSW up 7bps, 6-month BBSW up 5bps; swap rates down; swap spreads tighten.
3-month BBSW gained 7bps to 1.04% over the week while 6-month BBSW finished 5bps higher at 1.81%.
Swap rates fell by increasing amounts along the curve, outpacing the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had lost 6bps to 2.30%, the 3-year rate had shed 8bps to 3.04%, the 5-year rate had decreased by 11bps to 3.33 while 10-year and 15-year rates each finished 16bps lower at 3.52% and 3.59% respectively.
As a result, swap spreads tightened along the curve. By the end of the week, the 3-year spread had shed 6bps to 24bps, the 5-year spread had lost 8bps to 32bps while the 10-year spread had tightened by 7bps to 22bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.41 | 0.07 | 0.38 |
| 90 Day | 1.04 | 0.07 | 0.73 |
| 180 Day | 1.81 | 0.05 | 0.94 |
| 1 Year | 2.30 | -0.06 | 0.82 |
| 3 Year | 3.04 | -0.08 | 0.44 |
| 5 Year | 3.33 | -0.11 | 0.38 |
| 10 Year | 3.52 | -0.16 | 0.26 |
| 15 Year | 3.59 | -0.16 | 0.24 |