| CMT vs LIBOR BREAKEVEN RATES | ||||||
| 2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
| 1 YR | CMT -95 | CMT -91 | CMT --190 | CMT-186 | CMT -254 | CMT -250 |
| 2 YR | CMT -73 | CMT -69 | CMT --147 | CMT-143 | CMT -207 | CMT -203 |
| 3 YR | CMT -54 | CMT -49 | CMT-113 | CMT -109 | CMT -155 | CMT-151 |
| 4 YR | CMT -44 | CMT -40 | CMT -91 | CMT -67 | CMT -136 | CMT-135 |
| 5 YR | CMT -36 | CMT -35 | CMT -74 | CMT -70 | CMT -119 | CMT-115 |
| 7 YR | CMT -25 | CMT -25 | CMT -55 | CMT -51 | CMT -99 | CMT-95 |
| 10 YR | CMT -17 | CMT -13 | CMT -45 | CMT -41 | CMT -88 | CMT-84 |
| PRIME vs LIBOR | 3MO T-BILLS vs LIBOR | FED FUNDS vs LIBOR | ||||
| PAY PRIME | REC PRIME | PAY BILLS | REC BILLS | PAY FF | REC FF | |
| 3 MO | p-291 | p-288 | B+14 | B+24 | F+10 | F+13 |
| 6 MO | p-288 | p-285 | B+18 | B+28 | F+14 | F+17 |
| 9 MO | p-287 | p-284 | B+23 | B+33 | F+15 | F+18 |
| 1 YR | p-284 | p-281 | B+28 | B+38 | F+16 | F+19 |
| 2 YR | p-283 | p-280 | B+36 | B+46 | F+18 | F+21 |
| 3 YR | p-281 | p-278 | B+43 | B+53 | F+19 | F+22 |
| 4 YR | p-280 | p-277 | B+52 | B+62 | F+20 | F+23 |
| 5 YR | p-279 | p-276 | B+61 | B+71 | F+21 | F+24 |
| 7 YR | p-278 | p-275 | B+61 | B+71 | F+22 | F+26 |
| 10 YR | p-276 | p-273 | B+61 | B+71 | F+23 | F+26 |
| BMA vs LIBOR | ||
| PAY % LIBOR | REC % LIBOR | |
| 1YR | 74.00% | 76.00% |
| 2YR | 72.50% | 74.50% |
| 3YR | 72.50% | 74.50% |
| 4YR | 72.25% | 74.25% |
| 5YR | 72.00% | 74.00% |
| 7YR | 73.00% | 75.00% |
| 10YR | 74.00% | 76.00% |
