Summary: Bank bill, BBSW rates largely unchanged; some swap rates rise, others stable; swap spreads to ACGB yields up modestly, not far from zero.
The physical bank bill rate finished the week unchanged at 0.02%, as did 3-month BBSW. 6-month BBSW slipped 1bp to also finish at 0.02%.
Swap rates rose a little in parts of the curve, in contrast with modest falls of their Commonwealth Government counterparts. By the end of the week, the 1-year rate had returned to its starting point at 0.04%, 3-year and 5-year rates had each gained 2bps to 0.16% and 0.38% respectively, the 10-year rate had inched up 1bp to 0.97% while the 15-year rate finished unchanged at 1.32%.
As a result, swap spreads increased modestly while remaining not far from zero. By the end of the week, the 3-year spread had increased by 4bps to +5bps, the 5-year spread had gained 2bps to 4bps while the 10-year spread finished 2bps 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 | 0.00 |
| 90 Day | 0.02 | 0.00 | 0.00 |
| 180 Day | 0.02 | -0.01 | -0.01 |
| 1 Year | 0.04 | 0.00 | 0.02 |
| 3 Year | 0.16 | 0.02 | 0.08 |
| 5 Year | 0.38 | 0.02 | 0.15 |
| 10 Year | 0.97 | 0.01 | 0.23 |
| 15 Year | 1.32 | 0.00 | 0.25 |