| 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-288 | p-285 | B+75 | B+85 | F+15 | F+18 | — | — |
| 6-month | p-288 | p-285 | B+75 | B+85 | F+15 | F+18 | — | — |
| 9-month | p-290 | p-287 | B+75 | B+85 | F+18 | F+21 | — | — |
| 1-year | p-288 | p-285 | B+71 | B+81 | F+16 | F+19 | 64.00% | 65.00% |
| 2-year | p-287 | p-284 | B+73 | B+83 | F+17 | F+20 | 66.00% | 67.00% |
| 3-year | p-285 | p-282 | B+75 | B+85 | F+18.5 | F+21.5 | 67.25% | 68.25% |
| 4-year | p-284 | p-281 | B+76 | B+86 | F+19.25 | F+22.25 | 68.25% | 69.25% |
| 5-year | P-283 | P-280 | B+77 | B+87 | F+20.5 | F+23.5 | 69.25% | 70.25% |
| 7-year | P-281.5 | P-278.5 | B+77 | B+87 | F+21 | F+24 | 71.38% | 72.38% |
| 10-year | P-280.5 | P-277.5 | B+76 | B+86 | F+22 | F+25 | 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 | CMT11/16 | CMT-28/-23 | CMT-70/-66 |
| 2-year | CMT15/20 | CMT-17/-13 | CMT-55/-51 |
| 3-year | CMT26/31 | CMT-1/3 | CMT-37/-33 |
| 4-year | CMT34/39 | CMT7.5/12 | CMT-27/-23 |
| 5-year | CMT36/41 | CMT13/17 | CMT-20/-16 |
| 7-year | CMT41/46 | CMT20/24 | CMT-11/-7 |
| 10-year | CMT45/50 | CMT27/31 | CMT-3/1 |
| 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 |
