Wednesday, August 26, 2009

GOFO, LIBOR & USTs


Duration/GOFO/LIBOR/UST


1 month / .31667 / .2606 / .08
3 month / .37167 / .3719 / .15
6 month / .47333 / .7825 / .25
1 year / .68000 / 1.355 / .45


(as of 2:15 est, GOFO/LIBOR set earlier)