| CMT vs LIBOR BREAKEVEN RATES | ||||||
| 2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
| 1 YR | CMT -67 | CMT -63 | CMT --177 | CMT-172 | CMT -278 | CMT -273 |
| 2 YR | CMT -65 | CMT -61 | CMT --163 | CMT-158 | CMT -251 | CMT -246 |
| 3 YR | CMT -53 | CMT -49 | CMT-142 | CMT -137 | CMT -220 | CMT-215 |
| 4 YR | CMT -45 | CMT -39 | CMT -122 | CMT -117 | CMT -195 | CMT-190 |
| 5 YR | CMT -37 | CMT -33 | CMT -84 | CMT -79 | CMT -174 | CMT-169 |
| 7 YR | CMT -25 | CMT -21 | CMT -67 | CMT -62 | CMT -147 | CMT-142 |
| 10 YR | CMT --17 | CMT -13 | CMT -70 | CMT -65 | CMT -120 | CMT-115 |
| 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-286 | p-283 | B+15 | B+25 | F+14 | F+17 |
| 6 MO | p-286 | p-283 | B+16 | B+26 | F+14.5 | F+17.5 |
| 9 MO | p-286 | p-283 | B+17 | B+27 | F+15 | F+18 |
| 1 YR | p-286 | p-283 | B+19 | B+29 | F+15 | F+18 |
| 2 YR | p-284 | p-281 | B+23 | B+33 | F+16 | F+19 |
| 3 YR | p-283 | p-280 | B+30 | B+40 | F+16.5 | F+19.5 |
| 4 YR | p-281 | p-278 | B+38 | B+48 | F+17 | F+20 |
| 5 YR | p-280 | p-277 | B+45 | B+55 | F+18 | F+21 |
| 7 YR | p-279 | p-276 | B+45 | B+55 | F+19 | F+22 |
| 10 YR | p-278 | p-275 | B+45 | B+55 | F+20 | F+23 |
| BMA vs LIBOR | ||
| PAY % LIBOR | REC % LIBOR | |
| 1YR | 85.50% | 87.50% |
| 2YR | 82.00% | 84.00% |
| 3YR | 82.00% | 84.00% |
| 4YR | 78.00% | 80.00% |
| 5YR | 78.00% | 80.00% |
| 7YR | 77.75% | 79.75% |
| 10YR | 78.00% | 80.00% |
