| 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-month | p-288 | p-285 | B+50 | B+60 | F+15 | F+18 | ||
| 6-month | p-288 | p-285 | B+49 | B+59 | F+15 | F+18 | ||
| 9-month | p-286 | p-283 | B+63 | B+73 | F+17 | F+20 | ||
| 1-year | p-285 | p-282 | B+60 | B+70 | F+16 | F+19 | 63.53% | 66.63% |
| 2-year | p-283 | p-280 | B+66 | B+76 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-282.5 | p-279.5 | B+70 | B+80 | F+18 | F+21 | 67.38% | 68.38% |
| 4-year | p-282 | p-279 | B+73 | B+83 | F+19 | F+22 | 68.13% | 69.13% |
| 5-year | P-280.5 | P-277.5 | B+75 | B+85 | F+20 | F+23 | 68.88% | 69.88% |
| 7-year | P-279.5 | P-276.5 | B+74 | B+84 | F+21 | F+24 | 70.25% | 71.25% |
| 10-year | P-278.5 | P-275.5 | B+74 | B+84 | F+22 | F+25 | 72.25% | 72.25% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT17/-13 | CMT-72/-68 | CMT-109/-105 |
| 2-year | CMT-5/13 | CMT-45/-41 | CMT-78/-74 |
| 3-year | CMT10/14 | CMT-21-17 | CMT-51/-47 |
| 4-year | CMT28/32 | CMT-3/1 | CMT-32/-28 |
| 5-year | CMT33/37 | CMT2/6 | CMT-26/-22 |
| 7-year | CMT40/44 | CMT12/16 | CMT-14/-10 |
| 10-year | CMT44/48 | CMT20/24 | CMT-2/2 |
| 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 |
