CMT vs LIBOR BREAKEVEN RATES | ||||||
2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
1 YR | CMT -130 | CMT -126 | CMT -228 | CMT -222 | CMT -278 | CMT - 272 |
2 YR | CMT -90 | CMT -86 | CMT -156 | CMT -150 | CMT -199 | CMT -193 |
3 YR | CMT -56 | CMT -52 | CMT -103 | CMT -97 | CMT -141 | CMT -135 |
4 YR | CMT -34 | CMT -30 | CMT -73 | CMT -67 | CMT -108 | CMT -103 |
5 YR | CMT -20 | CMT -16 | CMT -53 | CMT -47 | CMT -86 | CMT-82 |
7 YR | CMT -6 | CMT -2 | CMT -32 | CMT -26 | CMT -62 | CMT -56 |
10 YR | CMT 2 | CMT 6 | CMT -18 | CMT -12 | CMT -43 | CMT -37 |
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-286 | p-283 | B+24 | B+34 | F+16 | F+19 | ||
6 MO | p-285 | p-282 | B+26 | B+36 | F+17 | F+20 | ||
9 MO | p-284 | p-281 | B+32 | B+42 | F+17.5 | F+20.5 | ||
1 YR | p-286 | p-283 | B+35 | B+45 | F+17 | F+20 | 75.00% | 77.00% |
2 YR | p-283 | p-280 | B+39 | B+49 | F+18. | F+21 | 73.50% | 75.50% |
3 YR | p-282 | p-279 | B+49 | B+59 | F+19 | F+22 | 73.50% | 75.50% |
4 YR | p-281 | p-278 | B+58 | B+68 | F+20 | F+23 | 73.50% | 75.50% |
5 YR | p-280 | p-277 | B+62 | B+72 | F+21 | F+24 | 73.50% | 75.50% |
7 YR | p-278 | p-275 | B+63 | B+73 | F+23 | F+26 | 74.00% | 76.00% |
10 YR | p-277 | p-274 | B+62 | B+72 | F+24 | F+27 | 75.25% | 76.25% |