29 Feb – 04 Mar 2016

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Physical bank bills were stable until Q4 GDP figures were released during the week and then rates moved up on the strong numbers to finish the week at 2.31%, up from 2.28%. The 3 month BBSW rate moved up by the same 3bps and finished the week at 2.32%.

Swap-to-bond spreads fell as interest rates rose across various markets but swap rates tended to rise a little less than bond rates. 3 year spreads fell 4bps to 22bps, 5 year spreads fell 4bps to 28bps and 10 year spreads fell 2bps to 12bps.

1 year swap rates rose 11bps to 2.17%, 3 year swap rates rose 15bps to 2.13%, 5 year and 10 year swap rates both rose 16bps to 2.37% and 2.68% respectively and 15 year rates rose 15bps to 2.90%.

swap-spreds-4mar-yield
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.09-0.010.04
90d2.320.020.03
180d2.430.030.01
1 Year2.170.110.06
3 Year2.130.160.06
5 Year2.370.160.00
10 Year2.680.16-0.10
15 Year2.900.15-0.12
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