Summary: Bank bill and BBSW rates unchanged; swap rates rise by modestly increasing amounts along curve; swap spreads to ACGB yields up a touch, 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 modestly increasing amounts along the curve. By the end of the week, the 1-year rate had returned to its starting point at 0.03%, the 3-year rates had inched up 1bp to 0.13%, the 5-year rate had increased by 2bps to 0.33%, the 10-year rate had gained 3bps to 0.88% while the 15-year rate finished 4bps higher at 1.24%.
Swap rates rose almost in line with their Commonwealth Government counterparts. As a result, swap spreads increased just a touch and remained close to zero. By the end of the week, 3-year and 5-year spreads had each increased by 1bp to +2bps and +3bps respectively while the 10-year spread finished unchanged 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 | -0.05 |
| 90 Day | 0.02 | 0.00 | -0.04 |
| 180 Day | 0.03 | 0.00 | -0.04 |
| 1 Year | 0.03 | 0.00 | -0.01 |
| 3 Year | 0.13 | 0.01 | 0.04 |
| 5 Year | 0.33 | 0.02 | 0.07 |
| 10 Year | 0.88 | 0.03 | 0.11 |
| 15 Year | 1.24 | 0.04 | 0.16 |