23 May – 27 May 2016

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Physical bank bills fell 2bps to 1.97%, as did the 3 month BBSW rate.

Swap-to-bond spreads edged up across the board. 3 and 5 year spreads rose by 1bp to 25bps and 31bps respectively while the 10 year spread remained steady at 14bps.

Last week, swap rates rose along the curve but more so at the long end. This week was the opposite; swap rates fell but more so at the long end. The 1 year swap rate fell 1bp to 1.86%, the 3 year rate remained steady at 1.84%, the 5 year rate fell 2bps to 2.10%, the 10 year rate fell 4bps to 2.40% and the 15 year rate fell 7bps to 2.60%.

swaps-yieldreport-27may

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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.84-0.01-0.24
90d1.97-0.02-0.30
180d2.120.00-0.34
1 Year1.86-0.01-0.35
3 Year1.840.00-0.38
5 Year2.10-0.02-0.39
10 Year2.40-0.04-0.36
15 Year2.60-0.07-0.34
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