Summary: 3-month BBSW, 6-month BBSW unchanged; swap rates lower across curve; spreads modestly wider.
Both 3-month BBSW and 6-month BBSW finished the week unchanged at 0.03% and 0.07% respectively.
Swap rates moved lower across the curve but not quite as much as their Commonwealth Government benchmarks. By the end of the week, the 1-year rate had lost 2bps to 0.06%, 3-year and 5-year rates had both shed 5bps to 0.43% and 0.87% respectively while 10-year and 15-year rates each finished 8bps lower at 1.54% and 1.84% respectively.
As a result, swap spreads widened modestly. By the end of the week, the 3-year spread had gained 3bps to 4bps, the 5-year spread had added 3bps to 7bps while the 10-year spread finished 1bp higher at 6bps.
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 | 0.03 | 0.00 | 0.00 |
| 180 Day | 0.07 | 0.00 | 0.00 |
| 1 Year | 0.06 | -0.02 | 0.02 |
| 3 Year | 0.43 | -0.05 | 0.10 |
| 5 Year | 0.87 | -0.05 | 0.02 |
| 10 Year | 1.54 | -0.08 | -0.13 |
| 15 Year | 1.84 | -0.08 | -0.21 |