| 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 |
