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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 -58 CMT -53 CMT --150 CMT-145 CMT -229 CMT -224
2 YR CMT -54 CMT -49 CMT --133 CMT-128 CMT -262 CMT -257
3 YR CMT -49 CMT -44 CMT-113 CMT -108 CMT -174 CMT-169
4 YR CMT -46 CMT -41 CMT -98 CMT -93 CMT -152 CMT-147
5 YR CMT -41 CMT -36 CMT -84 CMT -79 CMT -134 CMT-129
7 YR CMT -31 CMT -26 CMT -65 CMT -60 CMT -118 CMT-113
10 YR CMT -23 CMT -18 CMT -64 CMT -59 CMT -109 CMT-104
  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+14 B+24 F+11 F+14
6 MO p-291 p-288 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+13 F+16
2 YR p-288 p-285 B+23 B+33 F+14 F+17
3 YR p-286 p-283 B+29 B+39 F+15 F+18
4 YR p-284 p-281 B+38 B+48 F+16 F+19
5 YR p-283 p-280 B+45 B+55 F+17 F+20
7 YR p-282 p-279 B+45 B+55 F+17 F+20
10 YR p-281 p-278 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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