Interest-Rate Data
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Derivatives

Interest-Rate Data

CMT vs LIBOR BREAKEVEN RATES
  2 YR CMT 5 YR CMT 10 YR CMT
1 YR CMT -112 CMT -108 CMT --204 CMT-200 CMT -259 CMT -255
2 YR CMT -71 CMT -67 CMT --142 CMT-138 CMT -182 CMT -178
3 YR CMT -49 CMT -45 CMT-103 CMT -99 CMT -135 CMT-131
4 YR CMT -36 CMT -32 CMT -77 CMT -73 CMT -106 CMT-102
5 YR CMT -27 CMT -23 CMT -60 CMT -56 CMT -86 CMT-82
7 YR CMT -15 CMT -11 CMT -37 CMT -33 CMT -66 CMT-62
10 YR CMT -5 CMT -1 CMT -28 CMT -24 CMT -56 CMT-52
  PRIME vs LIBOR 3MO T-BILLS vs LIBOR FED FUNDS vs LIBOR BMA vs LIBOR
  PAY PRIME REC PRIME PAY BILLS REC BILLS PAY FF REC FF PAY % LIBOR REC % LIBOR
3 MO p-291 p-288 B+14 B+24 F+10 F+13    
6 MO p-288 p-285 B+18 B+28 F+14 F+17    
9 MO p-287 p-284 B+23 B+33 F+15 F+18    
1 YR p-284 p-281 B+28 B+38 F+16 F+19 74.00% 76.00%
2 YR p-283 p-280 B+36 B+46 F+18 F+21 72.50% 74.50%
3 YR p-281 p-278 B+43 B+53 F+19 F+22 72.50% 74.50%
4 YR p-280 p-277 B+52 B+62 F+20 F+23 72.25% 74.25%
5 YR p-279 p-276 B+61 B+71 F+21 F+24 72.00% 74.00%
7 YR p-278 p-275 B+61 B+71 F+22 F+26 73.00% 75.00%
10 YR p-276 p-273 B+61 B+71 F+23 F+26 74.00% 76.00%


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