Summary: 3-month BBSW down 6bps, 6-month BBSW down 20bps; swap rates drop materially; swap spreads mostly narrower.
3-month BBSW lost 6bps to 1.74% over the week while 6-month BBSW finished 20bps lower at 2.59%.
Swap rates dropped materially except at the very front of the curve, generally outpacing the falls of their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had gained 7bps to 3.11%, the 3-year rate had shed 51bps to 3.63%, the 5-year rate had lost 47bps to 3.95% while 10-year and 15-year rates each finished 40bps lower at 4.15% and 4.18% respectively.
As a result, swap spreads tightened along much of the curve, although not at the long end. By the end of the week, the 3-year spread had lost 9bps to 42bps, the 5-year spread had tightened by 7bps to 53bps while the 10-year spread finished 1bp higher at 43bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
| TERM TO MATURITY | CLOSING RATE | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.06 | 0.02 | 0.65 |
| 90 Day | 1.74 | -0.06 | 0.70 |
| 180 Day | 2.59 | -0.20 | 0.78 |
| 1 Year | 3.11 | 0.07 | 0.81 |
| 3 Year | 3.63 | -0.51 | 0.59 |
| 5 Year | 3.95 | -0.47 | 0.62 |
| 10 Year | 4.15 | -0.40 | 0.63 |
| 15 Year | 4.18 | -0.40 | 0.59 |