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

Tuesday, February 16th, 2016

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.51%
0.61%
0.74%
0.98%
1.47%

2.0%
1.5%
1.0%

0.5%

8/1

11/1

5/1

2/1

8/1

11/1

5/1

2/1

8/1

11/1

5/1

2/1

8/1

11/1

5/1

2/1

11/1

8/1

5/1

0.0%

2/1

0.28%
0.38%
0.48%
0.69%
0.88%
1.20%
1.50%
1.75%
2.61%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
0.71%
0.75%
n/a
0.85%
0.91%
0.99%
1.10%
1.16%
1.23%
1.59%
1.64%
1.70%

*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%
0.025%
0.250%
0.780%
1.570%
2.630%

2.00%
0.001%
0.050%
0.260%
0.650%
1.230%

3.00%
0.001%
0.010%
0.090%
0.280%
0.590%

4.00%
0.001%
0.001%
0.035%
0.120%
0.290%

*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
Wednesday
7:00 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
2:00 PM

Cap Cost

3.0%

1.00%

2.0%

2.00%

1.0%

3.00%

4.00%

0.0%

1 year 2 year 3 year 4 year 5 year

Report
MBA Mortgage Applications
Housing Starts MoM
Building Permits MoM
PPI Final Demand MoM
PPI Final Demand YoY
Fed Releases Minutes from January Meeting

Forecast
-2.30%
-0.30%
-0.20%
-0.60%

Previous
9.30%
-2.50%
-3.90%
-0.20%
-1.00%

Thursday

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

Initial Jobless Claims

Continuing Claims
Leading Index

275k
2240k
-0.20%

269k
2239k
-0.20%

Friday

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

CPI MoM
CPI YoY
CPI Ex Food and Energy YoY

-0.10%
1.30%
2.10%

-0.10%
0.70%
2.10%

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