22 Feb – 26 Feb 2016

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Physical bank bill rates did not fluctuate at all during the week and finished at 2.28%. The 3 month BBSW rate moved up a point and finished the week at 2.29%.

Swap-to-bond spreads rose at short end but fell at the long end. 3 year spreads rose 2 bps to 16bps, 5 year spreads remained stable at 32bps and 10 year spreads fell 2bps to 14bps. This week we have included a chart of bond and swap yields rather than the spread between the two.

swap-yield-26feb

1 year swap rates fell 4bps to 2.06%, 3 year swap rates fell 5bps to 1.98%, 5 year swap rates fell 8bps to 2.21% and 10 year and 15 year rates each fell 6bps to finish at 2.52% and 2.75% respectively.

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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.100.020.06
90d2.290.010.02
180d2.39-0.01-0.01
1 Year2.06-0.04-0.03
3 Year1.97-0.06-0.15
5 Year2.21-0.08-0.21
10 Year2.52-0.06-0.33
15 Year2.75-0.06-0.36
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