F3 CAPITAL MARKET YIELDS AND SPREADS - NON-GOVERNMENT INSTRUMENTS
Corporate bonds with 1 to 5 years maturity
S preads over bonds
issued by the
Australian Government
basis points
Yields
per cent
per annum
2010 Jun
2011 Jun
2012 Jun
2012/13
Nov
Dec
Jan
Feb
M ar
Apr
M ay
Jun
2013/14
Jul
Aug
Sep
Oct
Nov
S preads
over swap rates
basis points
5-year credit
default swap spreads
basis points
AA
6.00
5.93
4.54
A
6.55
6.42
5.12
BBB
7.14
7.44
6.08
AA
151
118
205
A
204
166
263
BBB
265
268
361
AA
103
82
128
A
156
131
184
BBB
218
230
276
AA
120
130
171
A
118
110
168
BBB
108
128
203
3.77
3.65
3.70
3.69
3.84
3.51
3.47
3.78
4.29
4.17
4.25
4.15
4.30
3.97
3.92
4.25
5.33
5.16
5.19
5.00
5.08
4.80
4.59
4.86
110
99
92
97
98
90
86
108
162
148
143
141
141
135
129
149
267
248
238
226
220
218
197
210
69
71
67
67
63
57
56
75
119
117
114
109
102
99
96
114
219
213
205
189
180
180
161
173
115
105
103
99
88
90
80
127
109
104
101
99
93
95
92
127
142
141
134
128
118
111
105
151
3.49
3.60
3.55
3.63
3.76
3.97
4.09
4.05
4.13
4.14
4.57
4.74
4.65
4.68
4.73
95
90
82
76
80
139
135
129
122
117
198
199
187
177
174
65
60
55
51
59
109
105
100
95
96
164
164
156
149
150
106
110
----
103
105
----
128
131
----
3.69
3.76
3.75
3.78
3.73
3.71
3.82
3.85
3.83
3.79
3.77
3.77
3.78
3.80
3.82
3.81
3.80
3.77
3.75
3.78
3.76
4.18
4.24
4.24
4.26
4.21
4.18
4.21
4.24
4.21
4.17
4.15
4.15
4.16
4.18
4.20
4.20
4.19
4.15
4.14
4.17
4.14
4.72
4.79
4.78
4.80
4.75
4.71
4.76
4.78
4.79
4.75
4.73
4.72
4.73
4.75
4.77
4.76
4.78
4.75
4.72
4.75
4.73
78
77
77
76
77
77
79
79
79
81
80
79
79
78
78
79
80
80
81
79
80
122
121
121
119
120
119
118
117
117
117
117
117
116
115
115
116
117
117
118
116
117
177
176
176
174
174
174
172
172
173
174
173
173
172
171
170
172
174
174
175
173
174
54
54
54
54
54
55
57
59
58
59
59
59
59
59
59
59
59
58
59
59
59
96
96
97
96
97
96
96
97
96
96
96
96
96
96
96
96
96
95
95
95
96
150
150
150
149
149
149
150
150
150
150
150
150
150
149
149
150
151
150
150
150
150
----------------------
----------------------
----------------------
Daily
1 Nov
4 Nov
5 Nov
6 Nov
7 Nov
8 Nov
11 Nov
12 Nov
13 Nov
14 Nov
15 Nov
18 Nov
19 Nov
20 Nov
21 Nov
22 Nov
25 Nov
26 Nov
27 Nov
28 Nov
29 Nov
Sources: AFMA; Bloomberg; RBA; UBS AG, Australia Branch
F3 Capital Market Yields and Spreads – Non-government Instruments
Corporate bond yields are face-value weighted averages of yields on individual fixed-rate bonds issued by Australian nongovernment entities. Yields on individual bonds are sourced from UBS AG, Australia Branch.
Two sets of corporate bond spreads are shown: the spread to Treasury bonds issued by the Australian Government; and
the spread to the bank swap rate. In both cases, the indices shown are face-value weighted averages of the spreads
between individual bonds and Treasury bonds or swap rates of equivalent maturity.
The data cover fixed-rate bonds issued in Australia by financial institutions and non-financial corporates (including public
trading enterprises and credit-wrapped bonds). They exclude asset-backed bonds and bonds issued by non-residents.
Yields and spreads are shown for bonds that are in the broad credit ratings AA, A, and BBB (as determined by Standard
and Poor’s or, in the absence of an S&P rating, Moody's or Fitch), and that have a remaining term to maturity of between
1 and 5 years. All senior bonds quoted by UBS that meet these criteria are included in the calculations. Monthly figures
shown are for the last working day of the month.
Credit default swap (CDS) spreads (premia) are the simple averages of credit default swap spreads on the senior
unsecured debt of individual Australian financial institutions and non-financial corporates calculated over broad credit
ratings (AA, A and BBB). The individual CDS spreads measure the annualised cost to insure against a credit event over a
5 year term. Individual spreads are obtained from AFMA. Monthly figures shown are for the last trading day of each
month.