| 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-285 | p-282 | B+64 | B+74 | F+18 | F+21 | - | - |
| 6-month | p-286 | p-283 | B+65 | B+75 | F+16 | F+195 | - | - |
| 9-month | p-284 | p-281 | B+68 | B+78 | F+218 | F+21 | - | - |
| 1-year | p-286 | p-283 | B+64 | B+74 | F+16 | F+19 | 64.75% | 65.75% |
| 2-year | p-285.5 | p-282.5 | B+70 | B+80 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-284 | p-281 | B+73 | B+83 | F+18.5 | F+21.5 | 67.50% | 68.50% |
| 4-year | p-283 | p-280 | B+74 | B+84 | F+19.5 | F+22.3 | 68.50% | 69.50% |
| 5-year | P-281.5 | P-278.5 | B+77 | B+87 | F+20.5 | F+23.5 | 69.50% | 70.50% |
| 7-year | P-280.5 | P-277.5 | B+76 | B+86 | F+21 | F+24 | 71.50% | 72.50% |
| 10-year | P-279.5 | P-276.5 | B+76 | B+86 | F+22 | F+25 | 73.25% | 74.25% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT-5/-1 | CMT-62/-58 | CMT-1.09/-1.05 |
| 2-year | CMT14/18 | CMT-34/-30 | CMT-77/-73 |
| 3-year | CMT24/28 | CMT-16/-12 | CMT-56/-52 |
| 4-year | CMT32/36 | CMT-4/0 | CMT-42/-38 |
| 5-year | CMT36/40 | CMT25/29 | CMT-33/-29 |
| 7-year | CMT42/46 | CMT12/16 | CMT-19/-15 |
| 10-year | CMT47/51 | CMT23/27 | CMT-4/0 |
| 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 |
