| TERM | PRIME vs. LIBOR | 3-MO T-BILLS vs. LIBOR | FED FUNDS vs. LIBOR | BMA vs. LIBOR | ||||
| PAY PRIME | REC PRIME | PAY T-BILLS | REC S T-BILLS | PAY FF | REC FF | PAY % LIB | REC % LIB | |
| 3-month | p-285 | p-282 | B+64 | B+74 | F+18 | F+21 | ||
| 6-month | p-286 | p-283 | B+65 | B+75 | F+16 | F+19 | ||
| 9-month | p-284 | p-281 | B+68 | B+77 | F+18 | F+21 | ||
| 1-year | p-286 | p-283 | B+64 | B+74 | F+16 | F+19 | 64.75% | 65.75% |
| 2-year | p-285 | p-282 | B+70 | B+80 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-283 | p-280 | B+73 | B+83 | F+18.5 | F+21.5 | 67.50% | 68.50% |
| 4-year | p-282 | p-279 | B+74 | B+84 | F+19.5 | F+22.5 | 68.50% | 69.50% |
| 5-year | P-281 | P-278 | B+77 | B+87 | F+20.5 | F+23.5 | 69.50% | 70.50% |
| 7-year | P-280 | P-277 | B+76 | B+86 | F+21 | F+24 | 71.50% | 72.50% |
| 10-year | P-279 | P-276 | B+76 | B+86 | F+22 | F+25 | 73.25% | 74.25% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
Basis Swaps (MAY 4, 2001)
