Interest-Rate Data

GLOBALCAPITAL INTERNATIONAL LIMITED, a company

incorporated in England and Wales (company number 15236213),

having its registered office at 4 Bouverie Street, London, UK, EC4Y 8AX

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Interest-Rate Data

CMT vs LIBOR BREAKEVEN RATES
  2 YR CMT 5 YR CMT 10 YR CMT
1 YR CMT -58 CMT -53 CMT --146 CMT-141 CMT -220 CMT -215
2 YR CMT -52 CMT -47 CMT --124 CMT-119 CMT -189 CMT -184
3 YR CMT -42 CMT -38 CMT-105 CMT -100 CMT -174 CMT-169
4 YR CMT -40 CMT -35 CMT -88 CMT -83 CMT -141 CMT-136
5 YR CMT -34 CMT -29 CMT -75 CMT -70 CMT -125 CMT-120
7 YR CMT -24 CMT -19 CMT -56 CMT -51 CMT -110 CMT-105
10 YR CMT -17 CMT -12 CMT -58 CMT -53 CMT -107 CMT-102
  PRIME vs LIBOR 3MO T-BILLS vs LIBOR FED FUNDS vs LIBOR
PAY PRIME REC PRIME PAY BILLS REC BILLS PAY FF REC FF
3 MO p-291 p-288 B+14 B+24 F+11 F+14
6 MO p-290 p-287 B+18 B+28 F+12 F+15
9 MO p-290 p-287 B+19 B+29 F+12 F+15
1 YR p-289 p-286 B+19 B+29 F+12.5 F+15.5
2 YR p-288 p-285 B+23 B+33 F+13 F+16
3 YR p-286 p-283 B+29 B+39 F+14 F+17
4 YR p-285 p-282 B+38 B+48 F+15 F+18
5 YR p-284 p-281 B+45 B+55 F+16 F+19
7 YR p-283 p-280 B+45 B+55 F+17 F+20
10 YR p-282 p-279 B+45 B+55 F+17.5 F+20.5
BMA vs LIBOR
  PAY % LIBOR REC % LIBOR
1YR 78.00% 80.00%
2YR 76.00% 78.00%
3YR 73.88% 75.88%
4YR 73.75% 75.75%
5YR 73.75% 75.75%
7YR 74.00% 76.00%
10YR 74.88% 76.88%


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