Summary: 3-month, 6-month BBSW both slip 1bp; swap rates lower across curve; spreads fairly stable.
3-month BBSW and 6-month BBSW each slipped 1bp to 0.02% and 0.05% respectively.
Swap rates fell along the curve, generally in line with their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had slipped 1bp to 0.04%, 3-year and 5-year rates had each lost 3bps to 0.35% and 0.69%, the 10-year rate had slipped 1bp to 1.28% while the 15-year rate finished unchanged at 1.59%.
As a result, swap spreads remained fairly stable. By the end of the week, the 3-year spread had tightened by 1bp to 10bps, the 5-year spread remained unchanged at 10bps while the 10-year spread widened by 1bp to 10bps.
NB. Spreads are calculated with respect to “spot” Australian Commonwealth Government bond yields.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.01 | 0.00 | 0.00 |
| 90 Day | 0.02 | -0.01 | -0.01 |
| 180 Day | 0.05 | -0.01 | -0.02 |
| 1 Year | 0.04 | -0.01 | -0.02 |
| 3 Year | 0.35 | -0.03 | -0.08 |
| 5 Year | 0.69 | -0.03 | -0.18 |
| 10 Year | 1.28 | -0.01 | -0.26 |
| 15 Year | 1.57 | 0.00 | -0.27 |