29 Mar – 01 Apr 2016

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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%.

swapapreads-1apr16
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.100.010.00
90d2.28-0.02-0.01
180d2.44-0.020.05
1 Year2.17-0.040.11
3 Year2.13-0.050.16
5 Year2.37-0.050.16
10 Year2.63-0.070.11
15 Year2.85-0.070.10
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