Summary: Bank bill and BBSW rates unchanged; swap rates fall by increasing amounts across curve; swap spreads to ACGB yields lower, especially at “belly”.
The physical bank bill rate remained unchanged at 0.08%, as did 3-month BBSW. 6-month BBSW also remained unchanged at 0.11%.
Swap rates fell across the curve by increasing amounts. By the end of the week, the 1-year rate had slipped 1bp to 0.06%, the 3-year rate had lost 2bps to 0.11%, the 5-year rate had shed 6bps to 0.23% while 10-year and 15-year rates each finished 9bps lower at 0.68% and 0.98% respectively.
As a result, swap spreads fell, especially at the “belly”. By the end of the week, the 3-year spread remained unchanged at -1bp, the 5-year rate had shed 9bps to -5bps while the 10-year spread finished 1bp lower at -4bps.
Prima facie, a negative spread implies banks are lower risks than the Commonwealth Government. However, short-term factors such as the Government’s rate of issuance relative to that of banks can play a part.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.08 | -0.01 | -0.01 |
| 90 Day | 0.08 | 0.00 | -0.01 |
| 180 Day | 0.11 | 0.00 | -0.03 |
| 1 Year | 0.06 | -0.01 | -0.05 |
| 3 Year | 0.11 | -0.02 | -0.06 |
| 5 Year | 0.23 | -0.06 | -0.11 |
| 10 Year | 0.68 | -0.09 | -0.14 |
| 15 Year | 0.98 | -0.09 | -0.12 |