| 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+48 | B+58 | F+17 | F+20 | – | – |
| 6-month | p-292 | p-289 | B+50 | B+60 | F+16 | F+19 | – | – |
| 9-month | p-292 | p-289 | B+53 | B+63 | F+16 | F+19 | – | – |
| 1-year | p-290 | p-287 | B+58 | B+58 | F+17 | F+20 | 64.00% | 65.00% |
| 2-year | p-288 | p-285 | B+63 | B+73 | F+17 | F+20 | 66.25% | 67.25% |
| 3-year | p-287 | p-284 | B+67 | B+77 | F+18 | F+21 | 67.25% | 68.25% |
| 4-year | p-284 | p-281 | B+68 | B+78 | F+19 | F+22 | 68.25% | 69.25% |
| 5-year | P-283 | P-280 | B+72 | B+82 | F+20 | F+23 | 69.50% | 70.50% |
| 7-year | P-281.5 | P-278.5 | B+72 | B+82 | F+21 | F+24 | 71.50% | 72.50% |
| 10-year | P-280.5 | P-277.5 | B+72 | B+82 | F+21.5 | F+24.5 | 73.50% | 74.50% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT40/44 | CMT10/14 | CMT-17/-13 |
| 2-year | CMT37/41 | CMT12/16 | CMT-13/-9 |
| 3-year | CMT42/46 | CMT23/27 | CMT0/4 |
| 4-year | CMT47/51 | CMT32/36 | CMT11/15 |
| 5-year | CMT54/58 | CMT39/44 | CMT19/23 |
| 7-year | CMT60/64 | CMT47/51 | CMT28/32 |
| 10-year | CMT65/69 | CMT53/57 | CMT34/38 |
| 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 |
