Current Treasuries and Swap Rates
U.S. Treasury yields and swap rates, including the benchmark 10-year U.S. Treasury Bond, different tenors of the USD London Interbank Offered Rate (LIBOR), the Secured Overnight Financing Rate (SOFR), 1-month Term SOFR swap rates, SOFR swap rate, the Fed Funds Effective Rate, Prime, and SIFMA. Swap rates are shown on a mid-market basis and may not reflect executable levels for most end users as they do not reflect dealer costs, credit charges, and other transaction specific mark-ups. Need capital markets data to help in your underwriting? Hedging questions? Contact us.
U.S. Treasuries
U.S. Treasuries indicate yields for on-the-run U.S. Treasury bills, notes, and bonds, which are typically the most recently auctioned and most liquid issue with a maturity closest to the stated tenor. These are commonly used for pricing fixed-rate debt at origination and for calculating yield maintenance.
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1-month Term SOFR swap rates
1-month Term SOFR swap rates reflect the rate to swap a Term SOFR indexed loan with monthly interest periods and payments and an Act/360 day count to a fixed rate. These rates do not include transaction specific mark ups and may not match swap rates for loans that use other SOFR base rate variations.
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SOFR swap rate (annual/annual)
SOFR swap rate is a swap where a counterparty pays a fixed-rate on an annual, Act/360 basis and receives SOFR, reset daily and paid annually on an Act/360 basis. This rate is a common benchmark for pricing fixed-rate CMBS and other fixed-rate loans.
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Swaps – Semi-bond
Semi-bond swap rates are benchmarks commonly used as the index for fixed-rate debt originated by CMBS lenders. These are based on an OTC swap contract in which a party pays the fixed rate semi-annually on a 30/360 basis, versus receiving 3-month LIBOR quarterly on an Actual/360 basis.
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Swaps – Monthly Money
Monthly money swap rates are commonly used by real estate and corporate borrowers to hedge exposure to floating-rate 1-month LIBOR debt. The contractual basis is paying a fixed rate monthly on an Actual/360 basis, versus receiving 1-month LIBOR monthly on an Actual/360 basis, without amortization.
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Secured Overnight Financing Rate (SOFR)
SOFR is an overnight, nearly risk-free rate based on transactions in the U.S. general collateral and bilateral cleared repurchase (repo) markets. Published by the NY Fed, SOFR is widely anticipated to replace USD LIBOR as the reference rate for many floating-rate loans.
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USD LIBOR
The London Interbank Offered Rate (LIBOR) is averaged from reports by a panel of banks seeking unsecured USD-denominated loans in the short-term money market. The LIBOR index is the adjustable interest rate referenced on hundreds of trillions of U.S. dollars' worth of debt and derivatives.
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Other U.S. Rates
The Effective Federal Funds Rate is an average based on daily overnight lending transactions between depository banks in the Fed system. The Prime Rate is the underlying index for many small business loans and retail lending such as credit cards or auto loans.
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SIFMA
SIFMA is a swaps index based on a weekly average of the yields for a selection of high-grade Variable Rate Demand Obligations (VRDO), also known as municipal bonds issues. This index is often the basis for hedging tax-exempt floating-rate debt.
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Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.
Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.
ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE IN RESPECT OF ANY USE OF ICE LIBOR.
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