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 22nd, 2016

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.55%
0.65%
0.78%
1.02%
1.50%

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

0.29%
0.44%
0.51%
0.75%
0.91%
1.24%
1.53%
1.76%
2.62%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
0.76%
0.80%
n/a
0.89%
0.94%
1.02%
1.13%
1.19%
1.26%
1.61%
1.66%
1.72%

*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%
0.240%
0.770%
1.560%
2.620%

2.00%
0.001%
0.040%
0.240%
0.620%
1.200%

3.00%
0.001%
0.010%
0.080%
0.250%
0.560%

4.00%
0.001%
0.001%
0.030%
0.110%
0.270%

*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
10:00 AM
10:00 AM
10:00 AM

3.0%

Cap Cost
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
Consumer Confidence Index
Richmond Fed Manufact. Index
Existing Home Sales

Forecast
97.5
2
5.35M

Previous
98.1
2
5.46M

Wednesday

7:00 AM
10:00 AM

MBA Mortgage Applications

New Home Sales

-520K

8.20%
544K

Thursday

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

Initial Jobless Claims

Continuing Claims
Durable Goods Orders
Kansas City Fed Manf. Activity

270K
-2.60%
-5

262K
2273K
-5.00%
-9

Friday

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

GDP Annualized QoQ

Personal Income
Personal Spending
U. of Mich. Sentiment
PCE Core MoM

0.50%
0.40%
0.30%
91
0.10%

0.70%
0.30%
0.00%
90.7
0.00%

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