15 June – 19 June 2015

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Last week physical 90d bank bills and 90d BBSW fell 2bps to 2.14%. Swap to bond prices saw the middle part of the curve (3y to 5y) fall more than the long end largely due to the RBA statement being seen as dovish.

swap19june

AFMA BBSW / Swap Rates

MATURITYCLOSEΔ WKΔ MTH
30d2.04-0.01-0.19
90d2.14-0.02-0.11
180d2.25-0.02-0.03
1 Year2.07-0.06-0.04
3 Year2.21-0.15-0.02
5 Year2.66-0.150.1
10 Year3.28-0.120.3
15 Year3.56-0.130.34