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jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month 0.03%
6 month 0.05%
1 year 0.08%
2 year 0.34%
3 year 0.78%
5 year 1.53%
7 year 2.06%
10 year 2.51%
30 year 3.35%
Swaps - Monthly Money*
Maturity
1 year 0.18% n/a n/a n/a
2 year 0.41% 0.65% 0.84% n/a
3 year 0.82% 1.14% 1.37% 1.64%
5 year 1.53% 1.87% 2.08% 2.30%
10 year 2.51% 2.80% 2.95% 3.09%
Caps - Percentage of Notional* 1.00% 2.00% 3.00% 4.00%
1 year 0.350% 0.250% 0.200% 0.170%
2 year 0.450% 0.350% 0.300% 0.250%
3 year 1.300% 0.700% 0.400% 0.300%
4 year 2.800% 1.600% 0.900% 0.550%
5 year 4.750% 2.900% 1.800% 1.200%
MAJOR ECONOMIC RELEASES
Time
Tuesday 12:30PM Fed's Plosser speaks on the Economy
1:00PM Fed's Dudley speaks on Business Economics
Wednesday 10:00AM Fed's Dudley speaks on Regional Economy and Jobs
11:00AM Fed's Yellen gives New York University Commencement Speech
12:50PM Fed's George speaks on the Economy and Banking
1:30PM Fed's Kocherlakota speaks on Monetary Policy
2:00PM Fed releases Minutes from April FOMC Meeting
Thursday 8:30AM Initial Jobless Claims (exp. 310k, prev. 297k)
8:30AM Continuing Claims (exp. 2670k, prev. 2667k)
10:00AM Existing Home Sales (exp. +2.0%, prev. -0.2%)
10:00AM Leading Index (exp. +0.4%, prev. +0.8%)
11:00AM Kansas City Fed (exp. 7, prev. 7)
4:00PM Fed's Williams speaks
Friday 10:00AM New Home Sales (exp. +9.4%, prev. -14.5%)
*cap premiums represented as a percentage of the original notional amount; assumes
monthly payments, 1-month LIBOR, interest only, and ACT/360
Report
Monday, May 19th, 2014
spot
1-year
forward
1.5-year
forward
2-year
forward
*monthly money assumes monthly payments, 1-month LIBOR floating index, ACT/360
daycount conventions, interest-only, and modified following business day adjustments
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
1 year 2 year 3 year 4 year 5 year
Cap Cost
1. 00%
2. 00%
3. 00%
4. 00%
0.0%
1.0%
2.0%
3.0%
4.0%
0
5
/
1
4
0
8
/
1
4
1
1
/
1
4
0
2
/
1
5
0
5
/
1
5
0
8
/
1
5
1
1
/
1
5
0
2
/
1
6
0
5
/
1
6
0
8
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1
6
1
1
/
1
6
0
2
/
1
7
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5
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1
7
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8
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1
7
1
1
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1
7
0
2
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1
8
0
5
/
1
8
0
8
/
1
8
1
1
/
1
8
0
2
/
1
9
1-month LIBOR Forward Curve


























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