Summary: Bank bill and BBSW rates unchanged; swap rates barely move; swap spreads to ACGB yields higher, still negative.
The physical bank bill rate finished the week unchanged at 0.06%, as did 3-month BBSW. 6-month BBSW also finished unchanged at 0.07%.
Swap rates barely moved. By the end of the week, 1-year, 3-year, 5-year and 10-year rates all remained unchanged at 0.04%, 0.09%, 0.26% and 0.77% respectively. The 15-year rate finished 1bp higher at 1.09%.
As a result, swap spreads increased but still finished in negative territory. By the end of the week, the 3-year spread had increased by 1bp to -3bps, the 5-year rate had gained 2bps to -2bps while the 10-year spread finished 3bps higher at -6bps.
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 | 0.05 | -0.02 | -0.04 |
| 90 Day | 0.06 | 0.00 | -0.02 |
| 180 Day | 0.07 | 0.00 | -0.05 |
| 1 Year | 0.04 | 0.00 | -0.03 |
| 3 Year | 0.09 | 0.00 | -0.05 |
| 5 Year | 0.26 | 0.00 | -0.03 |
| 10 Year | 0.77 | 0.00 | 0.02 |
| 15 Year | 1.09 | 0.01 | 0.06 |