| Monthly | Jul 08 | Jun 08 | May 08 | Apr 08 | Mar 08 | 3M Avg | 12M Avg | Trend | |
|---|---|---|---|---|---|---|---|---|---|
Interset Rate Swaps |
Rate |
||||||||
| IR Swap 1yr | 3.09 | 3.22 | 2.88 | 2.71 | 2.41 | 3.06 | 3.65 | -0.59 | |
| IR Swap 2yr | 3.51 | 3.66 | 3.23 | 2.89 | 2.50 | 3.47 | 3.69 | -0.22 | |
| IR Swap 3yr | 3.86 | 4.00 | 3.53 | 3.18 | 2.82 | 3.80 | 3.87 | -0.08 | |
| IR Swap 4yr | 4.08 | 4.23 | 3.76 | 3.45 | 3.13 | 4.02 | 4.05 | -0.03 | |
| IR Swap 5yr | 4.23 | 4.37 | 3.93 | 3.66 | 3.39 | 4.18 | 4.21 | -0.03 | |
| IR Swap 7yr | 4.47 | 4.58 | 4.21 | 3.99 | 3.80 | 4.42 | 4.46 | -0.04 | |
| IR Swap 10yr | 4.70 | 4.78 | 4.48 | 4.30 | 4.20 | 4.65 | 4.71 | -0.06 | |
| IR Swap 30yr | 5.02 | 5.12 | 4.92 | 4.80 | 4.78 | 5.02 | 5.09 | -0.07 | |
Swap Spreads |
Rate |
||||||||
| IR Swap 1yr - UST 1yr | 0.81 | 0.80 | 0.82 | 0.97 | 0.87 | 0.81 | 0.80 | 0.01 | |
| IR Swap 2yr - UST 2yr | 0.94 | 0.89 | 0.78 | 0.84 | 0.88 | 0.87 | 0.80 | 0.07 | |
| IR Swap 3yr - UST 3yr | 0.99 | 0.92 | 0.84 | 0.95 | 1.02 | 0.92 | 0.85 | 0.06 | |
| IR Swap 5yr - UST 5yr | 0.93 | 0.88 | 0.78 | 0.82 | 0.91 | 0.86 | 0.79 | 0.07 | |
| IR Swap 7yr - UST 7yr | 0.87 | 0.85 | 0.75 | 0.80 | 0.87 | 0.82 | 0.77 | 0.05 | |
| IR Swap 10yr - UST 10yr | 0.69 | 0.68 | 0.60 | 0.62 | 0.69 | 0.66 | 0.66 | -0.00 | |
| IR Swap 30yr - UST 30yr | 0.45 | 0.43 | 0.32 | 0.36 | 0.39 | 0.40 | 0.50 | -0.10 | |
Swap Curve Spreads |
Rate |
||||||||
| IR Swap 10yr - Eurodollar 3m | 1.70 | 1.83 | 1.64 | 1.27 | 1.34 | 1.72 | 0.70 | 1.02 | |
| IR Swap 10yr - IR Swap 2yr | 1.19 | 1.12 | 1.25 | 1.41 | 1.70 | 1.19 | 1.02 | 0.16 | |
| IR Swap 30yr - IR Swap 2yr | 1.51 | 1.46 | 1.69 | 1.91 | 2.28 | 1.55 | 1.41 | 0.15 |
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