| 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-289 | p-286 | B+55 | B+65 | F+15 | F+18 | ||
| 6 MO | p-289 | p-286 | B+59 | B+69 | F+15 | F+18 | ||
| 9 MO | p-289 | p-286 | B+60 | B+70 | F+16 | F+19 | ||
| 1 YR | p-289 | p-286 | B+63 | B+73 | F+16 | F+19 | 64.00% | 65.00% |
| 2 YR | p-286 | p-283 | B+68 | B+78 | F+17 | F+20 | 66.00% | 67.00% |
| 3 YR | p-284 | p-281 | B+71 | B+81 | F+18 | F+21 | 67.00% | 68.00% |
| 4 YR | p-283 | p-280 | B+73 | B+83 | F+19 | F+22 | 68.00% | 69.00% |
| 5 YR | p-282 | P-279 | B+75 | B+85 | F+20 | F+23 | 69.00% | 70.00% |
| 7 YR | P-281.5 | P-278.5 | B+73 | B+83 | F+21 | F+24 | 71.00% | 72.00% |
| 10 YR | P-280.5 | P-277.5 | B+73 | B+83 | F+22 | F+25 | 73.25% | 74.25% |
| CMT vs LIBOR BREAKEVEN RATES | ||||||
| 2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
| 1 YR | CMT 47 | CMT 51 | CMT 22 | CMT 26 | CMT -5 | CMT -1 |
| 2 YR | CMT 44 | CMT 48 | CMT 21 | CMT 25 | CMT -3 | CMT 1 |
| 3 YR | CMT 45 | CMT 49 | CMT 28 | CMT 32 | CMT 4 | CMT 8 |
| 4 YR | CMT 46 | CMT 50 | CMT 28 | CMT 32 | CMT 13 | CMT17 |
| 5 YR | CMT 47 | CMT 51 | CMT 29 | CMT 33 | CMT 15 | CMT 19 |
| 7 YR | CMT 48 | CMT 52 | CMT 30 | CMT 34 | CMT 17 | CMT 21 |
| 10 YR | CMT 50 | CMT 54 | CMT 30 | CMT 34 | CMT 17 | CMT 21 |
