704-887-9880 office

jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month
6 month
1 year
2 year
3 year
5 year
7 year
10 year
30 year

Monday, February 9th, 2015

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.40%
0.81%
1.17%
1.60%
2.10%

11/19

08/19

05/19

02/19

11/18

08/18

05/18

02/18

11/17

08/17

05/17

02/17

11/16

08/16

05/16

02/16

11/15

08/15

05/15

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
02/15

0.02%
0.07%
0.21%
0.64%
1.06%
1.60%
1.93%
2.13%
2.73%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
1.22%
1.42%
n/a
1.56%
1.74%
1.90%
1.91%
2.04%
2.15%
2.30%
2.39%
2.45%

*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%
0.030%
0.520%
1.630%
3.030%
4.600%

2.00%
0.004%
0.170%
0.720%
1.540%
2.530%

3.00%
0.001%
0.060%
0.325%
0.780%
1.380%

4.00%
0.001%
0.025%
0.160%
0.420%
0.790%

*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
8:30AM
10:00AM
10:30AM

5.0%
4.0%
3.0%
2.0%
1.0%
0.0%

Cap Cost
1.00%

2.00%

3.00%

4.00%

1 year 2 year 3 year 4 year 5 year

Report
Chicago Fed Nat Activity Index
Existing Home Sales
Dallas Fed Manf. Activity

Forecast
0.03
4.96M
0

Previous
-0.05
5.04M
-4.4

Tueday

10:00AM
10:00AM

Consumer Confidence Index

Richmond Fed Manufact. Index

99.5
6

102.9
6

Thursday

8:30AM
8:30AM
8:30AM
8:30AM
8:30AM
8:30AM
11:00AM

Continuing Claims
Initial Jobless Claims
CPI MoM
CPI YoY
Durable Goods Orders
Durables Ex Transportation
Kansas City Fed Manf. Activity

2393K
290K
-0.60%
-0.10%
1.70%
0.50%
3

2425K
283K
-0.40%
0.80%
-3.40%
-0.80%
3

Friday

8:30AM
8:30AM
8:30AM
10:00AM

GDP Annualized QoQ

Personal Consumption
GDP Price Index
U. of Mich. Sentiment

2.10%
4.30%
0.00%
94

2.60%
4.30%
0.00%
93.6

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