| 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 |
| 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+17 | B+27 | F+14 | F+17 | ||
| 6 MO | p-285 | p-282 | B+23 | B+33 | F+16 | F+19 | ||
| 9 MO | p-284 | p-281 | B+25 | B+35 | F+17 | F+20 | ||
| 1 YR | p-284 | p-281 | B+31 | B+41 | F+17 | F+20 | 73.50% | 75.50% |
| 2 YR | p-283 | p-280 | B+37 | B+47 | F+18. | F+21 | 72.50% | 74.50% |
| 3 YR | p-281 | p-278 | B+44 | B+54 | F+19 | F+22 | 72.50% | 74.50% |
| 4 YR | p-280 | p-277 | B+55 | B+65 | F+20 | F+23 | 72.50% | 74.50% |
| 5 YR | p-279 | p-276 | B+61 | B+71 | F+21 | F+24 | 72.25% | 74.25% |
| 7 YR | p-278 | p-275 | B+62 | B+72 | F+23 | F+26 | 73.00% | 75.00% |
| 10 YR | p-276 | p-273 | B+62 | B+72 | F+23.5 | F+26.5 | 74.00% | 76.00% |
