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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 September 28th, 2015

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.41%
0.68%
0.93%
1.34%
1.99%

06/25/2020

03/26/2020

12/24/2019

09/26/2019

06/26/2019

03/27/2019

12/27/2018

09/26/2018

06/27/2018

03/27/2018

12/27/2017

09/27/2017

06/27/2017

03/27/2017

12/23/2016

09/27/2016

06/27/2016

03/23/2016

12/23/2015

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
09/25/2015

-0.02%
0.07%
0.32%
0.69%
0.99%
1.48%
1.87%
2.17%
2.96%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
0.95%
1.09%
n/a
1.20%
1.33%
1.45%
1.58%
1.69%
1.79%
2.18%
2.27%
2.35%

*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%
0.320%
1.100%
2.210%
3.640%

2.00%
0.001%
0.070%
0.400%
0.980%
1.840%

3.00%
0.001%
0.020%
0.150%
0.450%
0.940%

4.00%
0.001%
0.005%
0.070%
0.220%
0.510%

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

4.0%

Cap Cost
1.00%

3.0%
2.00%

2.0%
3.00%

1.0%
4.00%

0.0%

1 year 2 year 3 year 4 year 5 year

Report
Personal Income
Personal Spending
PCE Core MoM
Dallas Fed Manf. Activity

Forecast
0.40%
0.30%
0.10%
-9

Previous
0.40%
0.30%
0.10%
-15.8

Tuesday

9:00 AM
10:00 AM

S&P/Case-Shiller US HPI MoM

Consumer Confidence Index

96

0.09%
101.5

Wednesday

7:00 AM

MBA Mortgage Applications

13.90%

Thursday

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

Initial Jobless Claims

Continuing Claims
Construction Spending MoM
ISM Manufacturing

271K
2222K
0.60%
50.5

267K
2242K
0.70%
51.1

Friday

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

Change in Nonfarm Payrolls

Unemployment Rate
Labor Force Participation Rate
Factory Orders

200K
5.10%
-1.20%

173K
5.10%
62.60%
0.40%

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