| 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 T-BILLS | PAY FF | REC FF | PAY % LIB | REC % LIB | |
| 3 MO | p-286 | p-283 | B+50 | B+60 | F+15 | F+18 | ||
| 6-month | p-286 | p-283 | B+54 | B+64 | F+15 | F+18 | ||
| 9-month | p-284 | p-281 | B+63 | B+73 | F+17 | F+20 | ||
| 1-year | p-285 | p-282 | B+60 | B+70 | F+16 | F+19 | 65.00% | 66.00% |
| 2-year | p-283 | p-280 | B+70 | B+80 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-282.5 | p-279.5 | B+73 | B+83 | F+18 | F+21 | 67.75% | 68.75% |
| 4-year | p-281 | p-278 | B+73 | B+83 | F+19 | F+22 | 68.50% | 69.50% |
| 5-year | p-280.5 | p-277.5 | B+75 | B+85 | F+20 | F+23 | 69.25% | 70.25% |
| 7-year | p-279.5 | p-276.5 | B+74 | B+84 | F+21 | F+24 | 71.00% | 72.00% |
| 10-year | p-278.5 | p-275.5 | B+74 | B+84 | F+22 | F+25 | 73.00% | 74.00% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| TERM | CMT vs. LIBOR | ||
| 2-YR CMT | 5-YR CMT | 10-YR CMT | |
| 1-year | CMT-17/-13 | CMT-75/15 | CMT-118/-144 |
| 2-year | CMT5/9 | CMT-44/-40 | CMT-82/-78 |
| 3-year | CMT19/23 | CMT-23/-19 | CMT-58/-54 |
| 4-year | CMT27/31 | CMT-11/-7 | CMT-43/-39 |
| 5-year | CMT33/37 | CMT-2/02 | CMT-33/-29 |
| 7-year | CMT39/43 | CMT8/12 | CMT-19/-15 |
| 10-year | CMT44/48 | CMT18/22 | CMT-5/-1 |
| All numbers in Basis Swaps expressed in basis points. P = Prime; | |||
| FF = Federal Funds Rate; REC = Receive; B = T-Bills. | |||
| Source: Prebon Yamane (USA) - (201) 557-5400 |
