| CMT vs LIBOR BREAKEVEN RATES | ||||||
| 2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
| 1 YR | CMT -32 | CMT -27 | CMT --118 | CMT-113 | CMT -197 | CMT -192 |
| 2 YR | CMT -32 | CMT -27 | CMT --109 | CMT-104 | CMT -181 | CMT -176 |
| 3 YR | CMT -29 | CMT -24 | CMT -92 | CMT -57 | CMT -153 | CMT-147 |
| 4 YR | CMT -26 | CMT -21 | CMT -79 | CMT -74 | CMT -135 | CMT-130 |
| 5 YR | CMT -25 | CMT -20 | CMT -69 | CMT -64 | CMT -121 | CMT-116 |
| 7 YR | CMT -18 | CMT -13 | CMT -50 | CMT -45 | CMT - 108 | CMT-103 |
| 10 YR | CMT -10 | CMT -5 | CMT -55 | CMT -50 | CMT -106 | CMT-101 |
| 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-290 | p-287 | B+14 | B+24 | F+11 | F+14 |
| 6 MO | p-291 | p-288 | B+18 | B+28 | F+12 | F+15 |
| 9 MO | p-290 | p-287 | B+19 | B+29 | F+12 | F+15 |
| 1 YR | p-289 | p-286 | B+19 | B+29 | F+13 | F+16 |
| 2 YR | p-288 | p-285 | B+23 | B+33 | F+14 | F+17 |
| 3 YR | p-286 | p-283 | B+29 | B+39 | F+15 | F+18 |
| 4 YR | p-284 | p-281 | B+38 | B+48 | F+16 | F+19 |
| 5 YR | p-283 | p-280 | B+45 | B+55 | F+17 | F+20 |
| 7 YR | p-282 | p-279 | B+45 | B+55 | F+17 | F+20 |
| 10 YR | p-281 | p-278 | B+45 | B+55 | F+17.5 | F+20.5 |
| BMA vs LIBOR | ||
| PAY % LIBOR | REC % LIBOR | |
| 1YR | 78.00% | 80.00% |
| 2YR | 76.00% | 78.00% |
| 3YR | 73.88% | 75.88% |
| 4YR | 73.75% | 75.75% |
| 5YR | 73.75% | 75.75% |
| 7YR | 74.00% | 76.00% |
| 10YR | 74.88% | 76.88% |
