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Interest-Rate Data

07 May 2002

CMT vs LIBOR BREAKEVEN RATES
 2 YR CMT5 YR CMT10 YR CMT
1 YRCMT -112CMT -108CMT --204CMT-200CMT -259CMT -255
2 YRCMT -71CMT -67CMT --142CMT-138CMT -182CMT -178
3 YRCMT -49CMT -45CMT-103CMT -99CMT -135CMT-131
4 YRCMT -36CMT -32CMT -77CMT -73CMT -106CMT-102
5 YRCMT -27CMT -23CMT -60CMT -56CMT -86CMT-82
7 YRCMT -15CMT -11CMT -37CMT -33CMT -66CMT-62
10 YRCMT -5CMT -1CMT -28CMT -24CMT -56CMT-52
 PRIME vs LIBOR3MO T-BILLS vs LIBORFED FUNDS vs LIBORBMA vs LIBOR
 PAY PRIMEREC PRIMEPAY BILLSREC BILLSPAY FFREC FFPAY % LIBORREC % LIBOR
3 MOp-291p-288B+14B+24F+10F+13  
6 MOp-288p-285B+18B+28F+14F+17  
9 MOp-287p-284B+23B+33F+15F+18  
1 YRp-284p-281B+28B+38F+16F+19 74.00% 76.00%
2 YRp-283p-280B+36B+46F+18F+21 72.50% 74.50%
3 YRp-281p-278B+43B+53F+19F+22 72.50% 74.50%
4 YRp-280p-277B+52B+62F+20F+23 72.25% 74.25%
5 YRp-279p-276B+61B+71F+21F+24 72.00% 74.00%
7 YRp-278p-275B+61B+71F+22F+26 73.00% 75.00%
10 YRp-276p-273B+61B+71F+23F+26 74.00% 76.00%


07 May 2002