| PRIME vs. LIBOR | 3-MO T-BILLS vs. LIBOR | FED FUNDS vs. LIBOR | BMA vs. LIBOR | |||||
| TERM | PAY PRIME | REC PRIME | PAY T-BILLS | REC T-BILLS | PAY FF | REC FF | PAY % LIB | REC % LIB |
| 3-month | p-293 | p-290 | B+65 | B+75 | F+17 | F+20 | - | - |
| 6-month | p-292 | p-289 | B+65 | B+75 | F+16 | F+19 | - | - |
| 9-month | p-292 | p-289 | B+65 | B+75 | F+16 | F+19 | - | - |
| 1-year | p-290 | p-287 | B+66 | B+76 | F+17 | F+20 | 64.50% | 65.50% |
| 2-year | p-288 | p-285 | B+69 | B+79 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-287 | p-284 | B+71 | B+81 | F+18 | F+21 | 67.50% | 68.50% |
| 4-year | p-284 | p-281 | B+74 | B+84 | F+19 | F+22 | 68.50% | 69.50% |
| 5-year | P-283 | P-280 | B+75 | B+85 | F+20 | F+23 | 69.50% | 70.50% |
| 7-year | P-281.5 | P-278.5 | B+75 | B+85 | F+21 | F+24 | 71.50% | 72.50% |
| 10-year | P-280.5 | P-277.5 | B+74 | B+84 | F+21.5 | F+24.5 | 73.00% | 74.00% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT17/21 | CMT11/15 | CMT6/10 |
| 2-year | CMT24/28 | CMT21/25 | CMT15/19 |
| 3-year | CMT29/33 | CMT27/31 | CMT19/23 |
| 4-year | CMT33/37 | CMT28/32 | CMT20/24 |
| 5-year | CMT37/41 | CMT30/34 | CMT20/24 |
| 7-year | CMT35/39 | CMT25/29 | CMT15/19 |
| 10-year | CMT36/40 | CMT25/29 | CMT17/21 |
| 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 |
