-1
$\begingroup$

If CT5s (the current on the run 5y treasury) goes from 99-20 to 99-21 - what will be the approx rate move in the 5y swap rate. Just trying to ascertain rule of thumbs for 5y, 10y and 30y.

$\endgroup$

1 Answer 1

1
$\begingroup$

You'd be assuming swap spreads are constant, but a 1tick change in the 5y otr, is approximately -0.7bps on the swap

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.