Credit Adjustment Spread Values For Risk Free Rates
Table of Credit Adjustment Spread values for Risk Free Rates
| GBP
| USD
| CHF
| YEN
|
Overnight | -0.0024 | 0.0064 | -0.0551* | -0.0183* |
1 week | 0.0168 | 0.0383 | -0.0705 | -0.0198 |
1 month | 0.0326 | 0.1144 | -0.0571 | -0.0292 |
2 months | 0.0633 | 0.1845 | -0.0231 | -0.0044 |
3 months | 0.1193 | 0.2616 | 0.0031 | 0.0083 |
6 months | 0.2766 | 0.4282 | 0.0741 | 0.0580 |
12 months | 0.4644 | 0.7151 | 0.2048 | 0.166 |
| * Overnight CHF and YEN values refer to Spot/Next dates | ||||
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