31 Aug – 04 Sep 2015

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Physical bank bills barely changed and rose 1bps to 2.14% while the 90d BBSW rate rose 2bps to 2.15%. The 3y swap-to-bond spread moved up 1bps and is still close to the 27bps spread averaged through August. Likewise, the 10y swap-to-bond spread moved in the same direction but by a slightly larger 3bps, finishing at 0.35%, which coincidentally was the average for August.

swap-bondspread-4sep
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.060.030.02
90d2.150.010.00
180d2.210.01-0.05
1 Year1.96-0.01-0.13
3 Year2.04-0.08-0.19
5 Year2.44-0.09-0.18
10 Year3.02-0.07-0.15
15 Year3.29-0.07-0.14
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