30 Nov – 04 Dec 2015

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Physical bank bill rates rose again this week for a fifth week running, this time by 3bps to 2.30%, while the 90 day BBSW also finished at 2.30%, up 4bps on the week.

The swap curve reversed its flattening trend as swap rates rose substantially across the yield curve. Swap rates at the short end tended to rise a little less than at the long end; the 1 year swap rose 6bps to 2.21%, the 3 year rate rose 9bps to 2.39%, the 5 year rate rose 10bps to 2.63%, and the 10 year and 15 year rates both rose 13bps to 3.09% and 3.34% respectively.

Unlike the previous week, swap to bond spreads all moved in the same direction. The 3 year swap-to-bond spread rose 1bps to 13bps, the 5 year spread rose 2bps to 25bps and the 10 year swap-to-bond spread again rose 4bps, this time to 16bps.

swap-to-bonds-4dec
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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.060.010.04
90d2.300.040.20
180d2.390.030.23
1 Year2.210.060.30
3 Year2.290.090.31
5 Year2.620.100.28
10 Year3.090.130.22
15 Year3.340.130.20
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