15 Feb – 19 Feb 2016

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Physical bank bill rates fluctuated over a 2bps range but finished the week steady at 2.28% – still a significant margin over the cash rate of 2.00%. The 3 month BBSW rate also finished the week at 2.28%.

3 year swap spreads fell 4bps to 25bps, the 5 year swap spread fell 2bps to 32bps while the 10 year swap spread rose 3bps to 16bps.

This time the swap curve did not mirror the government bond curve as 1 year and 3 year swap rates fell a point to 2.10% and 2.03% respectively. 10 year and 15 year rates each rose 2bps to finish at 2.58% and 2.81% respectively.

bank-bills-19feb
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.080.000.03
90d2.280.00-0.03
180d2.400.01-0.03
1 Year2.10-0.01-0.03
3 Year2.03-0.01-0.09
5 Year2.290.00-0.12
10 Year2.580.02-0.24
15 Year2.810.02-0.26
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