Physical bank bills had another week of falls, dropping 2bps to 2.28%, in line with the 3 month BBSW rate.
Swap-to-bond spreads fell over the week as yields fell in both the physical and swaps markets. Swap rates again tended to fall a little more than their bond counterparts and 3 year and 10 year spreads each fell 1bp to 19bps and 11bps respectively, while the 5 year swap-to-bond spread remained unchanged at 28bps.
The 1 year swap rate fell 4bps to 2.17%, the 3 year rate fell 5bps to 2.13%, the 5 year rate fell 5bps to 2.37%, the 10 year rate fell 7bps to 2.63% and the 15 year rate fell 7bps to 2.85%.
AFMA BBSW / SWAP RATES
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