| l | 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-290 | p-287 | B+58 | B+68 | F+12 | F+15 | l | l |
| 6-month | p-289 | p-286 | B+59 | B+69 | F+13 | F+16 | l | l |
| 9-month | p-288 | p-285 | B+60 | B+70 | F+14.5 | F+17.5 | l | l |
| 1-year | p-288 | p-285 | B+65 | B+75 | F+17.5 | F+20.5 | 63.50% | 64.50% |
| 2-year | p-285.5 | p-282.5 | B+68 | B+78 | F+18 | F+21 | 65.50% | 66.50% |
| 3-year | p-283 | p-280 | B+72 | B+82 | F+19 | F+22 | 66.75% | 67.75% |
| 4-year | p-282 | p-280 | B+75 | B+85 | F+19.5 | F+22.5 | 67.50% | 68.50% |
| 5-year | P-281 | P-278 | B+77 | B+87 | F+20 | F+23 | 68.50% | 69.50% |
| 7-year | P-280 | P-277 | B+74 | B+84 | F+21 | F+24 | 70.25% | 71.25% |
| 10-year | P-279 | P-276 | B+74 | B+84 | F+22 | F+25 | 72.50% | 73.50% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| l | l | CMT vs. LIBOR | l |
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT69/73 | CMT53/57 | CMT27/31 |
| 2-year | CMT65/69 | CMT52/56 | CMT20/24 |
| 3-year | CMT64/68 | CMT52/56 | CMT20/24 |
| 4-year | CMT65/69 | CMT51/55 | CMT20/24 |
| 5-year | CMT65/69 | CMT49/53 | CMT21/25 |
| 7-year | CMT65/69 | CMT48/52 | CMT22/26 |
| 10-year | CMT66/70 | CMT47/51 | 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 |
