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, June 29th, 2015

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.43%
0.81%
1.17%
1.70%
2.39%

02/20

11/19

08/19

05/19

02/19

11/18

08/18

05/18

02/18

11/17

08/17

05/17

02/17

11/16

08/16

05/16

02/16

11/15

08/15

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%

05/15

0.01%
0.07%
0.28%
0.71%
1.09%
1.75%
2.20%
2.47%
3.24%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
1.20%
1.42%
n/a
1.55%
1.75%
1.91%
2.03%
2.19%
2.32%
2.63%
2.74%
2.83%

*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%
0.440%
1.460%
2.830%
4.600%

2.00%
0.002%
0.130%
0.640%
1.430%
2.530%

3.00%
0.001%
0.040%
0.290%
0.730%
1.390%

4.00%
0.001%
0.015%
0.140%
0.390%
0.790%

*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
10:00AM
10:30AM

5.0%
4.0%
3.0%
2.0%
1.0%
0.0%

Cap Cost
1.00%

2.00%

3.00%

4.00%

1 year 2 year 3 year 4 year 5 year

Report
Pending Home Sales MoM
Dallas Fed Manf. Activity

Forecast
1.50%
-16.8

Previous
3.40%
-20.8

Tuesday

9:00AM
9:00AM
10:00AM

ISM Milwaukee
S&P/Case-Shiller US HPI MoM
Consumer Confidence Index

97

47.7
0.12%
95.4

Wednesday

7:00AM
8:15AM
10:00AM
10:00AM

MBA Mortgage Applications

ADP Employment Change
Construction Spending MoM
ISM Manufacturing

211K
0.60%
53.1

1.60%
201K
2.20%
52.8

Thursday

8:30AM
8:30AM
8:30AM
8:30AM
8:30AM
8:30AM
9:45AM
10:00AM

Change in Nonfarm Payrolls

Unemployment Rate
Initial Jobless Claims
Underemployment Rate
Continuing Claims
Labor Force Participation Rate
ISM New York
Factory Orders

230K
5.40%
270K
-0.50%

280K
5.50%
271K
10.80%
2247K
62.90%
54
-0.40%

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