| TERM | PRIME vs. LIBOR | 3-MO T-BILLS vs. LIBOR | FED FUNDS vs. LIBOR | BMA vs. LIBOR | ||||
| PAY PRIME | REC PRIME | PAY T-BILLS | REC T-BILLS | PAY FF | REC FF | PAY % LIB | REC % LIB | |
| 3-month | p-288 | p-285 | B+45 | B+55 | F+14 | F+17 | - | - |
| 6-month | p-288 | p-285 | B+49 | B+59 | F+14 | F+17 | - | - |
| 9-month | p-285 | p-282 | B+60 | B+70 | F+17 | F+20 | - | - |
| 1-year | p-285 | p-282 | B+58 | B+68 | F+16 | F+19 | 66.00% | 67 |
| 2-year | p-284 | p-281 | B+63 | B+73 | F+17 | F+20 | 66.50% | 67.50% |
| 3-year | p-283 | p-280 | B+67 | B+77 | F+18 | F+21 | 67.38% | 68.38% |
| 4-year | p-282 | p-279 | B+71 | B+81 | F+19 | F+22 | 68.13% | 69.13% |
| 5-year | P-281 | P-278 | B+72 | B+82 | F+20 | F+23 | 69.00% | 70.00% |
| 7-year | P-279.5 | P-276.5 | B+72 | B+82 | F+21 | F+24 | 70.25% | 71.25% |
| 10-year | P-278.5 | P-275.5 | B+72 | B+82 | F+22 | F+25 | 72.25% | 72.25% |
| Source: Prebon Yamane (USA) - (201) 557-5510 |
| CMT vs. LIBOR | |||
| TERM | 2-YR CMT | 5-YR CMT | 10-YR CMT |
| 1-year | CMT-29/-24 | CMT-87/-82 | CMT-127/-122 |
| 2-year | CMT-13/-8 | CMT-54/-49 | CMT-88/-83 |
| 3-year | CMT6/11 | CMT-27/-22 | CMT-58/-53 |
| 4-year | CMT22/27 | CMT-9/-4 | CMT-39/-34 |
| 5-year | CMT28/33 | CMT-4/1 | CMT-31/-26 |
| 7-year | CMT35/40 | CMT7/12 | CMT-17/-12 |
| 10-year | CMT41/46 | CMT18/23 | CMT-1/4 |
| 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 |
