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Derivatives

Basis Swaps (August 23, 2001)

  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-289.5 p-286.5 B+25 B+35 F+13 F+16    
6 MO p-285 p-282 B+33 B+43 F+16 F+19    
9 MO p-284 p-281 B+35 B+45 F+17 F+20    
1 YR p-285.5 p-282.5 B+38 B+48 F+16 F+19 66.75% 67.75%
2 YR p-284 p-281 B+47 B+57 F+17 F+20 67.50% 68.50%
3 YR p-283 p-280 B+51 B+61 F+18. F+21 68.00% 69.00%
4 YR p-282 p-279 B+58 B+68 F+19 F+22 68.50% 69.50%
5 YR p-281 p-278 B+66 B+76 F+20 F+23 69.00% 70.00%
7 YR p-279 p-276 B+65 B+75 F+21 F+24 70.00% 71.00%
10 YR p-278.5 p-275.5 B+65 B+75 F+22 F+25 72.00% 73.00%


CMT vs LIBOR BREAKEVEN RATES
  2 YR CMT 5 YR CMT 10 YR CMT
1 YR CMT -37 CMT -33 CMT -97 CMT -93 CMT -136 CMT -132
2 YR CMT -23 CMT -19 CMT -68 CMT -64 CMT -99 CMT -95
3 YR CMT -3 CMT 1 CMT -38 CMT -34 CMT -65 CMT -61
4 YR CMT 11 CMT 7 CMT -19 CMT -15 CMT -45 CMT -41
5 YR CMT 19 CMT 15 CMT -7 CMT -3 CMT -33 CMT -29
7 YR CMT 30 CMT 26 CMT 8 CMT 12 CMT -19 CMT -15
10 YR CMT 35 CMT 31 CMT 13 CMT 17 CMT -12 CMT -8


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