30 May – 03 Jun 2016

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Physical bank bills rose 3bps to 2.00%, as did the 3 month BBSW rate.

Changes to swap-to-bond spreads were mixed and minor. The 3 year spread edged down 1bps to 24bps, the 5 year spread edged up 1bp to 32bps respectively while the 10 year spread remained steady at 14bps.

This week the swap curve flattened as swap rates rose at the short end and fell at the long end. The 1 year swap rate rose 2bps to 1.88%, while the 3 year rate fell 1bp to 1.83%, the 5 year rate fell 2bps to 2.08%, the 10 year rate fell 3bps to 2.37% and the 15 year rate fell 2bps to 2.58%.

bank-swap-yieldreport-3jun
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.850.00-0.18
90d2.000.02-0.15
180d2.140.02-0.15
1 Year1.880.03-0.16
3 Year1.83-0.01-0.23
5 Year2.08-0.02-0.25
10 Year2.37-0.02-0.27
15 Year2.58-0.02-0.27
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