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 |
