| 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-292 | p-289 | B+48 | B+58 | F+11 | F+14 | – | – |
| 6-month | p-291 | p-288 | B+50 | B+60 | F+12 | F+15 | – | – |
| 9-month | p-291 | p-288 | B+53 | B+63 | F+13 | F+16 | – | – |
| 1-year | p-289 | p-286 | B+58 | B+68 | F+14 | F+17 | 64.00% | 65.00% |
| 2-year | p-287 | p-284 | B+63 | B+73 | F+15 | F+18 | 65.75% | 66.75% |
| 3-year | p-286 | p-283 | B+67 | B+77 | F+16 | F+19 | 66.75% | 67.75% |
| 4-year | p-284 | p-281 | B+68 | B+78 | F+18 | F+21 | 68.00% | 69.00% |
| 5-year | P-283 | P-280 | B+72 | B+82 | F+19 | F+22 | 69.00% | 70.00% |
| 7-year | P-281.5 | P-278.5 | B+72 | B+82 | F+20 | F+23 | 71.25% | 72.25% |
| 10-year | P-280.5 | P-277.5 | B+72 | B+82 | F+21 | F+24 | 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 | CMT41/45 | CMT13/17 | CMT-12/-8 |
| 2-year | CMT42/46 | CMT18/22 | CMT-6/-2 |
| 3-year | CMT47/51 | CMT27/31 | CMT4/0 |
| 4-year | CMT52/56 | CMT34/38 | CMT12/16 |
| 5-year | CMT57/61 | CMT40/44 | CMT18/22 |
| 7-year | CMT63/67 | CMT46/50 | CMT26/30 |
| 10-year | CMT67/71 | CMT51/55 | CMT33/37 |
| All numbers in Basis Swaps expressed in basis points. P = Prime; F | |||
| F = Federal Funds Rate; REC = Receive; B = T-Bills. | |||
| Source: Prebon Yamane (USA) - (201) 557-5400 |
