Summary: Bank bill and BBSW rates unchanged; swap rates rise modestly along curve; swap spreads to ACGB yields up, all still close to zero.
The physical bank bill rate finished the week unchanged at 0.02%, as did 3-month BBSW. 6-month BBSW also finished unchanged, 1bp higher than 3-month BBSW at 0.03%.
Swap rates rose by modest amounts along the curve. By the end of the week, 1-year and 3-year rates had inched up 1bp to 0.03% and 0.12% respectively, 5-year and 10-years rates had added 2bps to 0.31% and 0.85% respectively while the 15-year rate finished 1bp higher at 1.20%.
Swap rates rose in opposition to their Commonwealth Government counterparts. As a result, swap spreads increased, although they are all still close to zero. By the end of the week, the 3-year spread had increased by 2bps to +1bp, the 5-year rate had gained 3bps to +2bps while the 10-year spread finished 4bps higher at -2bps.
Prima facie, a negative swap spread implies banks are a lower risk than the Commonwealth Government. However, short-term factors such as the Government’s rate of issuance or a lack of demand by banks for funding can play a part.
BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 0.02 | 0.00 | -0.06 |
| 90 Day | 0.02 | 0.00 | -0.06 |
| 180 Day | 0.03 | 0.00 | -0.08 |
| 1 Year | 0.03 | 0.01 | -0.03 |
| 3 Year | 0.12 | 0.01 | 0.01 |
| 5 Year | 0.31 | 0.02 | 0.08 |
| 10 Year | 0.85 | 0.02 | 0.17 |
| 15 Year | 1.20 | 0.01 | 0.22 |