Interest-Rate Data
GlobalCapital, is part of the Delinian Group, DELINIAN (GLOBALCAPITAL) LIMITED, 4 Bouverie Street, London, EC4Y 8AX, Registered in England & Wales, Company number 15236213
Copyright © DELINIAN (GLOBALCAPITAL) LIMITED and its affiliated companies 2024

Accessibility | Terms of Use | Privacy Policy | Modern Slavery Statement
Derivatives

Interest-Rate Data

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%


Related articles

Gift this article