18 Jul – 22 Jul 2016

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In an unusual move, physical bank bill rates dropped 6bps to 1.90% this week while the 3 month BBSW rate moved down a similar amount to also finish at 1.90%. Half of the move occurred mid-week while the rest was at the end of the week.

Swap-to-bond spreads rose in unison for a change. The 3 year spread rose 3bps from 21bps to 24bps, the 5 year spread rose 3bps from 34bp to 37bps while the 10 year spread rose 2bps to 23bps.

The swap curve flattened as movements at the front and middle of the curve more than made up for the previous week while those at the long end were relatively subdued. The 1 year swap rate fell 6bps to 1.76%, the 3 year rate fell 7bps to 1.71%, the 5 year rate fell 6bps to 1.93%, the 10 year rate fell 4bps to 2.14% and the 15 year rate fell 3bps to 2.29%.

swap-bond-22jul16

AFMA BBSW / SWAP RATES

MATURITYCloseΔ WEEKΔ MONTH
30d1.86-0.010.00
90d1.90-0.06-0.10
180d2.06-0.04-0.07
1 Year1.76-0.06-0.11
3 Year1.71-0.08-0.10
5 Year1.93-0.07-0.10
10 Year2.14-0.05-0.16
15 Year2.29-0.03-0.19