Commonwealth Bank is the last of the big four banks to have been accused of taking part in the rigging of benchmark interest rates. ASIC began court proceedings against the bank this week for alleged “market manipulation and unconscionable conduct in relation to BBSW” during an eight month in 2012. ANZ and NAB have already paid fines for related behaviour while Westpac is still defending allegations.
The physical bank bill rate and the 3 month BBSW each slipped by 1bp to 1.78% and 1.77% respectively.
The government bond yield curve moved lower and steeper as yields fell more at the front of the curve. Swap rates fell more at the front of the curve but either remained unchanged or actually rose at the long end. 1 year and 3 year and 5 year swap rates each fell by 4bps to 1.84% and 2.20% respectively and 5 year rates fell by 3bps to 2.61.%. The 10 year rate remained unchanged at 3.00% but the 15 year rate crept up 1bp to 3.21%.
Consequently, the 3 year swap spread widened by 3bps to 8bps and the 5 year and 10 year spreads each widened by 2bp to 20bps and 19bps respectively.
AFMA BBSW - SWAP RATES
| TERM TO MATURITY | Closing Rate | Δ WEEK | Δ MONTH |
|---|---|---|---|
| 30 Day | 1.68 | -0.02 | -0.03 |
| 90 Day | 1.77 | -0.01 | -0.02 |
| 180 Day | 1.92 | -0.02 | -0.08 |
| 1 Year | 1.84 | -0.04 | 0.00 |
| 3 Year | 2.20 | -0.04 | 0.04 |
| 5 Year | 2.61 | -0.03 | 0.10 |
| 10 Year | 3.00 | 0.00 | 0.20 |
| 15 Year | 3.21 | 0.01 | 0.21 |