| 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+12 | F+15 | ||
| 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 | F+19 | 66.00% | 67.00% |
| 2 YR | p-284 | p-281 | B+51 | B+61 | F+17 | F+20 | 66.75% | 67.75% |
| 3 YR | p-283 | p-280 | B+55 | B+65 | F+18 | F+21 | 67.38% | 68.38% |
| 4 YR | p-282 | p-279 | B+60 | B+70 | F+19 | F+22 | 68.00% | 69.00% |
| 5 YR | p-281 | p-278 | B+63 | B+73 | F+20 | F+23 | 68.75% | 69.75% |
| 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 | 71.88% | 72.88% |
| 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 |
