11 Apr – 15 Apr 2016

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Physical bank bills edged up this week, rising 1 basis point to 2.28% while the 3 month BBSW rate rose 4bps to 2.29%.

Swap-to-bond spreads narrowed during the week as investors shelved their risk-adverse approach from the week before and left their preference for government bonds behind. Bond yields generally rose but swap rates were left lagging; the 3 year spread compressed 5bps to 19bps, the 5 year spread fell 10bps to 24bps and the 10 year spread fell 7bps to 10bps.

The 1 year swap rate rose 8bps to 2.19%, the 3 year rate rose 10bps to 2.16%, the 5 year rate rose 11ps to 2.41%, the 10 year rate rose 9bps to 2.67% and the 15 year rate rose 8bps to 2.85%.

swaps-15apr-yieldreport

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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.090.02-0.01
90d2.290.04-0.04
180d2.460.040.00
1 Year2.190.08-0.02
3 Year2.160.10-0.05
5 Year2.410.11-0.06
10 Year2.670.09-0.10
15 Year2.850.08-0.13
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