Basis Swaps (May 30, 2001)

  • 04 Jun 2001
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TERMPRIME vs. LIBOR3-MO T-BILLS vs. LIBORFED FUNDS vs. LIBORBMA vs. LIBOR
PAY PRIMEREC PRIMEPAY T-BILLSREC T-BILLSPAY FFREC FFPAY % LIBREC % LIB
3-monthp-288p-285B+45B+55F+14F+17--
6-monthp-288p-285B+49B+59F+14F+17--
9-monthp-285p-282B+60B+70F+17F+20--
1-yearp-285p-282B+58B+68F+16F+19 66.00%67
2-yearp-284p-281B+63B+73F+17F+20 66.50% 67.50%
3-yearp-283p-280B+67B+77F+18F+21 67.38% 68.38%
4-yearp-282p-279B+71B+81F+19F+22 68.13% 69.13%
5-yearP-281P-278B+72B+82F+20F+23 69.00% 70.00%
7-yearP-279.5P-276.5B+72B+82F+21F+24 70.25% 71.25%
10-yearP-278.5P-275.5B+72B+82F+22F+25 72.25% 72.25%
Source: Prebon Yamane (USA) - (201) 557-5510
CMT vs. LIBOR
TERM2-YR CMT5-YR CMT10-YR CMT
1-yearCMT-29/-24CMT-87/-82CMT-127/-122
2-yearCMT-13/-8CMT-54/-49CMT-88/-83
3-yearCMT6/11CMT-27/-22CMT-58/-53
4-yearCMT22/27CMT-9/-4CMT-39/-34
5-yearCMT28/33CMT-4/1CMT-31/-26
7-yearCMT35/40CMT7/12CMT-17/-12
10-yearCMT41/46CMT18/23CMT-1/4
All numbers in Basis Swaps expressed in basis points. P = Prime;
FF = Federal Funds Rate; REC = Receive; B = T-Bills.
Source: Prebon Yamane (USA) - (201) 557-5400


  • 04 Jun 2001

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 358,291.38 1348 9.06%
2 JPMorgan 320,704.66 1461 8.11%
3 Bank of America Merrill Lynch 318,128.31 1104 8.04%
4 Goldman Sachs 236,643.87 789 5.98%
5 Barclays 231,197.41 895 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 35,007.57 165 6.53%
2 Deutsche Bank 34,880.53 120 6.51%
3 Bank of America Merrill Lynch 31,805.65 97 5.93%
4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 19,745.92 80 8.85%
2 Morgan Stanley 16,334.63 83 7.32%
3 Citi 15,972.34 95 7.16%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.30%