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com RATES Treasury Rates 3 month 6 month 1 year 2 year 3 year 5 year 7 year 10 year 30 year Swaps - Monthly Money* Maturity 1 year 2 year 3 year 5 year 10 year Tuesday, May 28th, 2013
1-month LIBOR Forward Curve

05/13

02/14

05/14

11/14

11/15

05/16

02/17

05/17

11/17 05/11

spot 0.24% 0.34% 0.52% 1.07% 2.17%

1-year 1.5-year 2-year forward forward forward n/a n/a n/a 0.43% 0.49% n/a 0.66% 0.76% 0.90% 1.28% 1.42% 1.57% 2.40% 2.53% 2.67%

10-year Swap History

7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0%

05/04 05/07 05/08
05/02 05/03 05/05 05/06 05/09 05/10 05/12
1.00% 2.00% 3.00% 4.00%

*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% 0.090% 0.170% 0.600% 1.670% 3.220%

2.00% 0.070% 0.150% 0.470% 1.120% 2.100%

3.00% 0.060% 0.110% 0.370% 0.840% 1.500%

4.00% 0.050% 0.090% 0.290% 0.610% 1.030%

4.0% 3.0% 2.0% 1.0% 0.0%

Cap Cost

*cap premiums represented as a percentage of the original notional amount; assumes monthly payments, 1-month LIBOR, interest only, and ACT/360

1 year 2 year 3 year 4 year 5 year

MAJOR ECONOMIC RELEASES Time Wednesday Thursday 1:00PM 1:00PM 8:30AM 8:30AM 8:30AM 10:00AM 10:00AM 1:00PM 8:30AM 8:30AM 8:30AM 8:30AM 8:45AM 9:45AM 9:55AM

Report Fed's Rosengren speaks on Economy 5-year Treasury Auction ($35B) Initial Jobless Claims (exp. 340k, prev. 340k) Continuing Claims (exp. 2955k, prev. 2912k) GDP (exp. +2.5%, prev. +2.5%) Personal Consumption (exp. +3.3%, prev. +3.2%) Pending Home Sales (exp. +1.5%, prev. +1.5%) 7-year Treasury Auction ($29B) Personal Income (exp. +0.1%, prev. +0.2%) Personal Spending (exp. 0.0%, prev. +0.2%) PCE Deflator (exp. -0.2%, prev. -0.1%) PCE Core (exp. +0.1%, prev. 0.0%) Fed's Pianalto speaks on Financial Stability Chicago Purchasing Manager (exp. 50.0, prev. 49.0) Consumer Sentiment (exp. 84.0, prev. 83.7)

Friday

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02/18

08/13

11/13

08/14

02/15

05/15

08/15

02/16

08/16

11/16

08/17

0.04% 0.08% 0.11% 0.26% 0.45% 0.97% 1.48% 2.11% 3.26%

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