704-887-9880 office

jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month 0.02%
6 month 0.06%
1 year 0.09%
2 year 0.46%
3 year 0.95%
5 year 1.67%
7 year 2.16%
10 year 2.55%
30 year 3.37%
Swaps - Monthly Money*
Maturity
1 year 0.21% n/a n/a n/a
2 year 0.54% 0.87% 1.09% n/a
3 year 0.97% 1.35% 1.60% 1.85%
5 year 1.66% 2.03% 2.23% 2.43%
10 year 2.54% 2.82% 2.97% 3.10%
Caps - Percentage of Notional* 1.00% 2.00% 3.00% 4.00%
1 year 0.400% 0.300% 0.250% 0.200%
2 year 0.500% 0.400% 0.300% 0.200%
3 year 1.500% 0.800% 0.400% 0.300%
4 year 3.200% 1.850% 1.050% 0.700%
5 year 5.200% 3.200% 1.900% 1.200%
MAJOR ECONOMIC RELEASES
Time
Tuesday 8:30AM Retail Sales (exp. +0.60%, prev. +0.30%)
8:30AM Empire Manufacturing (exp. 17.00, prev. 19.28)
10:00AM Business Inventories (exp. +0.60%, prev. +0.60%)
Wednesday 8:30AM PPI (exp. +0.20%, prev. -0.20%)
8:30AM PPI Core (exp. +0.20%, prev. -0.10%)
9:15AM Industrial Production (exp. +0.30%, prev. +0.60%)
9:15AM Capacity Utilization (exp. 79.30%, prev. 79.10%)
10:00AM NAHB Housing Market Index (exp. 50.00, prev. 49.00)
2:00PM US Federal Reserve releases Beige Book
Thursday 8:30AM Initial Jobless Claims (exp. 310k, prev. 304k)
8:30AM Continuing Claims (exp. 2583k, prev. 2584k)
8:30AM Housing Starts (exp. +1.90%, prev. +6.50%)
8:30AM Building Permits (exp. +2.50%, prev. -6.40%)
1:35PM Fed's Bullard speaks on Monetary Policy
Friday 10:00AM Leading Index (exp. 0.50%, prev. +0.50%)
*cap premiums represented as a percentage of the original notional amount; assumes
monthly payments, 1-month LIBOR, interest only, and ACT/360
Report
Monday, July 14th, 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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