| k | 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-280 | p-277 | B+50 | B+60 | F+22 | F+25 | -- | -- |
| 6-month | p-281 | p-278 | B+55 | B+65 | F+21 | F+24 | -- | -- |
| 9-month | p-281.5 | p-278.5 | B+60 | B+70 | F+20.5 | F+23.5 | -- | -- |
| 1-year | p-282 | p-279 | B+62 | B+72 | F+20 | F+23 | 64.50% | 65.50% |
| 2-year | p-282 | p-279 | B+65 | B+75 | F+20 | F+23 | 66.00% | 67.00% |
| 3-year | p-281.5 | p-278.5 | B+70 | B+80 | F+20.5 | F+23.5 | 67.00% | 68.00% |
| 4-year | p-281 | p-278 | B+73 | B+83 | F+21 | F+24 | 68.00% | 69.00% |
| 5-year | P-280.5 | P-277.5 | B+75 | B+85 | F+21.5 | F+24.5 | 69.00% | 70.00% |
| 7-year | P-280 | P-277 | B+74 | B+84 | F+22 | F+25 | 70.25% | 71.25% |
| 10-year | P-279.5 | P-276.5 | B+74 | B+84 | F+22.5 | F+25.5 | 72.50% | 73.50% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| k | k | CMT vs. LIBOR | k |
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT70/74 | CMT55/59 | CMT35/39 |
| 2-year | CMT62/66 | CMT51/55 | CMT30/34 |
| 3-year | CMT61/65 | CMT52/56 | CMT36/40 |
| 4-year | CMT64/68 | CMT55/59 | CMT40/44 |
| 5-year | CMT69/73 | CMT57/61 | CMT46/50 |
| 7-year | CMT70/74 | CMT59/63 | CMT47/51 |
| 10-year | CMT72/76 | CMT61/65 | CMT49/53 |
| 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 |
