| PRIME vs LIBOR | 3MO T-BILLS vs LIBOR | FED FUNDS vs LIBOR | BMA vs LIBOR | |||||
| PAY PRIME | REC PRIME | PAY BILLS | REC BILLS | PAY FF | REC FF | PAY % LIBOR | REC % LIBOR | |
| 3 MO | p-286 | p-283 | B+55 | B+65 | F+16 | F+19 | ||
| 6 MO | p-286 | p-283 | B+59 | B+69 | F+16.5 | F+19.5 | ||
| 9 MO | p-286.5 | p-283.5 | B+60 | B+70 | F+17.5 | F+20.5 | ||
| 1 YR | p-287 | p-284 | B+63 | B+73 | F+17.5 | F+20.5 | 64.00% | 65.00% |
| 2 YR | p-285.5 | p-282.5 | B+68 | B+78 | F+18 | F+21 | 65.75% | 66.75% |
| 3 YR | p-284 | p-281 | B+72 | B+82 | F+19 | F+22 | 66.75% | 67.75% |
| 4 YR | p-283 | p-280 | B+75 | B+85 | F+19.5 | F+22.5 | 67.75% | 68.75% |
| 5 YR | p-282 | P-279 | B+77 | B+87 | F+20 | F+23 | 68.75% | 69.75% |
| 7 YR | P-281.5 | P-278.5 | B+74 | B+84 | F+21 | F+24 | 70.25% | 71.25% |
| 10 YR | P-280.5 | P-277.5 | B+74 | B+84 | F+22 | F+25 | 73.00% | 74.00% |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT44/48 | CMT22/26 | CMT0/4 |
| 2-year | CMT48/52 | CMT26/30 | CMT4/8 |
| 3-year | CMT50/54 | CMT30/34 | CMT8/12 |
| 4-year | CMT52/56 | CMT34/38 | CMT12/16 |
| 5-year | CMT54/58 | CMT38/42 | CMT16/20 |
| 7-year | CMT55/59 | CMT42/46 | CMT20/24 |
| 10-year | CMT56/60 | CMT44/48 | CMT22/26 |
| 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 |
