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%.
AFMA BBSW / SWAP RATES
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