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% |