Bank Bill / Swaps 28 Sep – 2 Oct 2015

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The physical 90d bill market dropped back 2bps to 2.16%, while the 90d BBSW rate eased 1bp to finish at 2.17%. Swap rates were down 4bps-6bps except for the 15 year swap rate which dropped 9bps to 3.16%. The 3y swap-to-bond spread remain unchanged at 20bps and the 10y swap-to-bond spread followed suit, finishing the week at 30bps.

10052015 Swap to Bond Spreads Weekly

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AFMA BBSW - SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.060.010.02
90d2.17-0.010.02
180d2.24-0.02-0.01
1 Year1.98-0.04-0.08
3 Year2.06-0.04-0.12
5 Year2.41-0.05-0.16
10 Year2.92-0.06-0.21
15 Year3.16-0.09-0.23
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