704-887-9880 office

jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month 0.04%
6 month 0.05%
1 year 0.10%
2 year 0.40%
3 year 0.82%
5 year 1.60%
7 year 2.13%
10 year 2.54%
30 year 3.38%
Swaps - Monthly Money*
Maturity
1 year 0.19% n/a n/a n/a
2 year 0.45% 0.70% 0.92% n/a
3 year 0.86% 1.20% 1.44% 1.71%
5 year 1.57% 1.93% 2.14% 2.35%
10 year 2.52% 2.81% 2.97% 3.11%
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 2.900% 1.700% 1.050% 0.700%
5 year 5.000% 3.100% 2.000% 1.250%
MAJOR ECONOMIC RELEASES
Time
Tuesday 9:45AM ISM New York (prev. 50.6)
10:00AM Factory Orders (exp. +0.5%, prev. +1.1%)
10:00AM IBD/TIPP Economic Optimism (exp. 46.5, prev. 45.8)
Wednesday 8:15AM ADP Employment Change (exp. 210k, prev. 220k)
8:30AM Trade Balance (exp. -$40.6B, prev. -$40.4B)
8:30AM Nonfarm Productivity (exp. -2.9%, prev. -1.7%)
8:30AM Unit Labor Costs (exp. +5.0%, prev. +4.2%)
10:00AM ISM Non-manufacturing Composite (exp. 55.5, prev. 55.2)
Thursday 7:45AM ECB Rate Decision
8:30AM Initial Jobless Claims (exp. 310k, prev. 300k)
8:30AM Continuing Claims (exp. 2623k, prev. 2631k)
Friday 8:30AM Change in Nonfarm Payrolls (exp. 218k, prev. 288k)
8:30AM Change in Private Payrolls (exp. 210k, prev. 273k)
8:30AM Unemployment Rate (exp. 6.4%, prev. 6.3%)
*cap premiums represented as a percentage of the original notional amount; assumes
monthly payments, 1-month LIBOR, interest only, and ACT/360
Report
Monday, June 2nd, 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%
6.0%
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
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9
1-month LIBOR Forward Curve


























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