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RATES
Treasury Rates
3 month
6 month
1 year
2 year
3 year
5 year
7 year
10 year
30 year

Monday November 2nd, 2015

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.46%
0.74%
0.98%
1.35%
1.92%

07/30/2020

04/30/2020

01/30/2020

10/31/2019

08/01/2019

05/01/2019

01/31/2019

11/01/2018

08/01/2018

05/01/2018

02/01/2018

11/01/2017

08/01/2017

04/28/2017

02/01/2017

11/01/2016

08/01/2016

04/28/2016

02/01/2016

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%

10/30/2015

0.08%
0.23%
0.32%
0.73%
1.03%
1.53%
1.89%
2.15%
2.93%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
1.02%
1.15%
n/a
1.25%
1.37%
1.49%
1.59%
1.69%
1.78%
2.10%
2.17%
2.24%

*monthly money assumes monthly payments, 1-month LIBOR floating index, ACT/360
daycount conventions, interest-only, and modified following business day adjustments

Caps - Percentage of Notional*

1 year
2 year
3 year
4 year
5 year

1.00%
0.020%
0.360%
1.160%
2.270%
3.650%

2.00%
0.001%
0.070%
0.400%
0.990%
1.810%

3.00%
0.001%
0.020%
0.150%
0.440%
0.890%

4.00%
0.001%
0.010%
0.060%
0.200%
0.470%

4.0%

Cap Cost
1.00%

3.0%
2.00%

2.0%
3.00%

*cap premiums represented as a percentage of the original notional amount; assumes

monthly payments, 1-month LIBOR, interest only, and ACT/360

MAJOR ECONOMIC RELEASES

Time
Monday
10:00 AM
10:00 AM

1.0%
4.00%

0.0%

1 year 2 year 3 year 4 year 5 year

Report
Construction Spending MoM
ISM Manufacturing

Forecast
0.50%
50

Previous
0.70%
50.2

-0.90%

-1.70%

-$41.15B

-3.50%
-$48.33B

Tuesday

10:00 AM

Factory Orders

Wednesday

7:00 AM
8:30 AM

MBA Mortgage Applications

Trade Balance

Thursday

8:30 AM
8:30 AM

Initial Jobless Claims

Continuing Claims

260K
2140K

260K
2144K

Friday

8:30 AM
8:30 AM
8:30 AM

Change in Nonfarm Payrolls

Unemployment Rate
Labor Force Participation Rate

181K
5.00%
-

142K
5.10%
62.40%

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