04 Apr – 08 Apr 2016

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Physical bank bills had another week of falls, dropping 1bp to 2.27%, while the 3 month BBSW rate fell a little further, down 3bps to 2.25%.

Swap-to-bond spreads rose over the week as swap rates again tended to fall a little less than their bond counterparts. 3, 5 and 10 year spreads all widened; the 3 year spread rose 5bps to 24bps, the 5 year spread rose 6bps to 34bps and the 10 year spread also rose 6bps to 17bps.

The 1 year swap rate fell 6bps to 2.11%, the 3 year rate fell 7bps to 2.06%, the 5 year rate fell 7bps to 2.30%, the 10 year rate fell 5bps to 2.58% and the 15 year rate fell 8bps to 2.77%.

swaprate-8apr-yieldreport

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AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d2.07-0.03-0.02
90d2.25-0.03-0.06
180d2.42-0.02-0.01
1 Year2.11-0.06-0.06
3 Year2.06-0.07-0.06
5 Year2.30-0.07-0.07
10 Year2.58-0.06-0.10
15 Year2.77-0.08-0.14
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