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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 -32 CMT -27 CMT --118 CMT-113 CMT -197 CMT -192
2 YR CMT -32 CMT -27 CMT --109 CMT-104 CMT -181 CMT -176
3 YR CMT -29 CMT -24 CMT -92 CMT -57 CMT -153 CMT-147
4 YR CMT -26 CMT -21 CMT -79 CMT -74 CMT -135 CMT-130
5 YR CMT -25 CMT -20 CMT -69 CMT -64 CMT -121 CMT-116
7 YR CMT -18 CMT -13 CMT -50 CMT -45 CMT - 108 CMT-103
10 YR CMT -10 CMT -5 CMT -55 CMT -50 CMT -106 CMT-101
  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-290 p-287 B+17 B+27 F+12.5 F+15.5
6 MO p-290 p-287 B+18 B+28 F+12.5 F+15.5
9 MO p-289.5 p-286.5 B+19 B+29 F+12.5 F+15.5
1 YR p-288.5 p-285.5 B+19 B+29 F+13 F+16
2 YR p-287 p-284 B+23 B+33 F+14.5 F+17.5
3 YR p-284.5 p-281.5 B+27 B+37 F+15.5 F+18.5
4 YR p-283.5 p-280.5 B+38 B+48 F+16.5 F+19.5
5 YR p-282.5 p-279.5 B+45 B+55 F+17 F+20
7 YR p-282 p-279 B+46 B+56 F+17.5 F+20.5
10 YR p-282 p-279 B+47 B+57 F+18 F+21
BMA vs LIBOR
  PAY % LIBOR REC % LIBOR
1YR 85.00% 87.00%
2YR 79.00% 81.00%
3YR 76.00% 78.00%
4YR 74.50% 76.50%
5YR 74.50% 76.50%
7YR 75.00% 77.00%
10YR 75.50% 77.50%


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