Summary: Bank bill and BBSW rates down a touch or unchanged; swap rates higher at long end; swap spreads to ACGB yields up, still near zero.
The physical bank bill rate slipped 1bp to 0.08% while 3-month BBSW remained unchanged at 0.08%. 6-month BBSW slipped 1bp to 0.11%.
Swap rates generally remained fairly stable at the front of its curve but increased at the long end. By the end of the week, the 1-year rate had slipped 1bp to 0.07%, 3-year and 5-year rates both finished unchanged at 0.13% and 0.29% respectively, the 10-year had gained 2bps to 0.77% while the 15-year rate finished 4bps higher at 1.07%.
As a result, swap spreads moved a little higher but still remained close to zero. By the end of the week, 3-year and 5-year spreads had both gained 3bps to -1bp and +4bps respectively while the 10-year spread finished 1bp higher at -3bps.
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 | 0.09 | 0.00 | 0.00 |
| 90 Day | 0.08 | -0.01 | -0.01 |
| 180 Day | 0.11 | -0.01 | -0.04 |
| 1 Year | 0.07 | -0.01 | -0.03 |
| 3 Year | 0.13 | 0.00 | -0.04 |
| 5 Year | 0.29 | 0.00 | -0.05 |
| 10 Year | 0.77 | 0.02 | -0.04 |
| 15 Year | 1.07 | 0.04 | -0.01 |