A chart showing the profit and loss of a CMS 5s10s strategy at expiry, in basis points (bps). The x-axis represents the CMS 5s10s at Expiry in bps, ranging from approximately 40 to 140. The y-axis represents the Profit/Loss (Pnl) in bps, ranging from -20.00 to 100.00. The current CMS 5s10s level is 71 bps, with a loss region below this level and a profit region above it. The break-even point is at approximately 71 bps. At an expiry of 40 bps, the loss is approximately -20 bps, and at 140 bps, the profit is approximately 76 bps.
documents/vol00010-efta01462275-pdf.pdf
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