Basis Swaps (July 26, 2001)
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Derivatives

Basis Swaps (July 26, 2001)

  PRIME vs LIBOR 3MO T-BILLS vs LIBOR FED FUNDS vs LIBOR BMA vs LIBOR
  PAY PRIME REC PRIME PAY BILLS REC BILLS PAY FF REC FF PAY % LIBOR REC % LIBOR
3 MO p-289 p-286 B+25 B+35 F+13 F+16    
6 MO p-284 p-281 B+36 B+46 F+18 F+21    
9 MO p-284 p-281 B+45 B+55 F+16 F+19    
1 YR p-285 p-282 B+41 B+51 F+16.5 F+19.5 66.25% 67.25%
2 YR p-284 p-281 B+51 B+61 F+17.5 F+20.5 66.75% 67.75%
3 YR p-283 p-280 B+57 B+67 F+18.25 F+21.25 67.25% 68.25%
4 YR p-282 p-279 B+60 B+70 F+19 F+22 67.75% 68.75%
5 YR p-281 p-278 B+63 B+73 F+20 F+23 68.50% 69.50%
7 YR p-279 p-276 B+61 B+71 F+21 F+24 70.00% 71.00%
10 YR p-278.5 p-275.5 B+61 B+71 F+22 F+25 71.75% 72.75%


CMT vs LIBOR BREAKEVEN RATES
  2 YR CMT 5 YR CMT 10 YR CMT
1 YR CMT 17 CMT 21 CMT 11 CMT 15 CMT 6 CMT 10
2 YR CMT 24 CMT 28 CMT 21 CMT25 CMT 15 CMT 19
3 YR CMT 29 CMT 33 CMT 27 CMT 31 CMT 19 CMT23
4 YR CMT 33 CMT 37 CMT 28 CMT 32 CMT 20 CMT24
5 YR CMT 37 CMT 41 CMT 30 CMT 34 CMT 20 CMT24
7 YR CMT 35 CMT 39 CMT 25 CMT 29 CMT 15 CMT19
10 YR CMT 36 CMT 40 CMT 25 CMT 29 CMT 17 CMT21


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