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 January 11th, 2016

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.63%
0.86%
1.06%
1.32%
1.82%

10/09/2020

07/09/2020

04/08/2020

01/09/2020

10/11/2019

07/10/2019

04/10/2019

01/10/2019

10/10/2018

07/10/2018

04/10/2018

01/10/2018

10/10/2017

07/10/2017

04/10/2017

01/10/2017

10/10/2016

07/08/2016

04/08/2016

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
01/08/2016

0.20%
0.44%
0.62%
0.94%
1.19%
1.58%
1.92%
2.14%
2.92%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
1.10%
1.19%
n/a
1.27%
1.36%
1.45%
1.50%
1.57%
1.64%
1.96%
2.02%
2.07%

*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%
0.040%
0.380%
1.130%
2.120%
3.350%

2.00%
0.001%
0.070%
0.370%
0.870%
1.570%

3.00%
0.001%
0.010%
0.120%
0.360%
0.760%

4.00%
0.001%
0.040%
0.050%
0.170%
0.390%

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
Tuesday
6:00 AM

1.0%
4.00%

0.0%
1 year 2 year 3 year 4 year 5 year

Report
NFIB Small Business Optimism

Forecast
95

Previous
94.8

---

-11.60%
--

Wednesday

7:00 AM
2:00 PM

MBA Mortgage Applications

Federal Reserve Releases Beige Book

Thursday

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

Import Price Index YoY

Initial Jobless Claims
Continuing Claims

-8.60%
275K
2208K

-9.40%
277K
2230K

Friday

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

Retail Sales Advance MoM

PPI Final Demand MoM
PPI Final Demand YoY
U. of Mich. Sentiment

0.00%
-0.20%
-1.00%
93

0.20%
0.30%
-1.10%
92.6

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