05 Oct – 09 Oct 2015

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The physical 90d bill market reversed the previous week’s 2bps drop and moved back up to 2.18% while the 90d BBSW rate moved in the same direction with a 1bp rise to finish the week also at 2.18%. Swap rates were higher across the board, with both 1y and 3y swap rates adding 1bps to 1.99% and 2.075% respectively while 5y, 10y and 15y swap rates moved higher by 3bps-6bps to end the week at 2.44%, 2.97% and 3.23% respectively. The 3y swap-to-bond spread eased 2bps to 19bps while the 10y swap-to-bond spread eased 1bps, finishing the week at 30bps.

swapbonds-09oct
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AFMA BBSW - SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.04-0.02-0.02
90d2.180.010.04
180d2.260.020.05
1 Year1.990.010.03
3 Year2.070.010.03
5 Year2.440.030.00
10 Year2.970.04-0.05
15 Year3.230.06-0.06
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