June 2015

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[private role=’subscriber’]Both physical bank bills and 90d BBSW were unchanged in June. Swap rates from 3y to 15y saw large increases as bond yields rose strongly. Swap to bond spreads began to rise in mid-May and by the end of June spreads had risen to levels last seen in February.

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[private role=’subscriber’]

AFMA BBSW / Swap Rates

MATURITYCLOSEΔ MTHΔ 2MTHMTH HIGHMTH LOW
30d2.040.02-0.192.062.03
90d2.150.00-0.102.172.13
180d2.260.02-0.022.272.23
1 Year2.110.060.002.132.05
3 Year2.320.140.082.362.18
5 Year2.750.200.182.812.55
10 Year3.310.250.323.413.05
15 Year3.580.240.363.693.32
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