704-887-9880 office

jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month 0.01%
6 month 0.04%
1 year 0.08%
2 year 0.46%
3 year 0.94%
5 year 1.70%
7 year 2.22%
10 year 2.62%
30 year 3.45%
Swaps - Monthly Money*
Maturity
1 year 0.21% n/a n/a n/a
2 year 0.53% 0.85% 1.09% n/a
3 year 0.98% 1.36% 1.62% 1.89%
5 year 1.68% 2.05% 2.28% 2.48%
10 year 2.60% 2.89% 3.04% 3.18%
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% 0.350% 0.250%
3 year 1.500% 0.800% 0.450% 0.300%
4 year 3.250% 1.900% 1.100% 0.650%
5 year 5.300% 3.300% 2.050% 1.250%
MAJOR ECONOMIC RELEASES
Time
Tuesday 9:00AM Case-Shiller Home Index (exp. 11.50%, prev. 12.37%)
10:00AM Consumer Confidence (exp. 83.5, prev. 83.0)
10:00AM Richmond Fed Manufacturing Index (exp. 7, prev. 7)
10:00AM New Home Sales (exp. +1.4%, prev. +6.4%)
Wednesday 8:30AM GDP Annualized (QoQ) (exp. -1.8%, prev. -1.0%)
8:30AM Personal Consumption (exp. +2.5%, prev. +3.1%)
8:30AM Durable Goods Orders (exp. -0.1%, prev. +0.8%)
Thursday 8:30AM Initial Jobless Claims (exp. 301k, prev. 312k)
8:30AM Continuing Claims (exp. 2565k, prev. 2561k)
8:30AM Personal Income (exp. +0.4%, prev. +0.3%)
8:30AM Personal Spending (exp. 0.4%, prev. -0.1%)
8:30AM Fed's Lacker speaks on Economic Growth
11:00AM Kansas City Fed Manufacturing Activity (exp. 10, prev. 10)
1:05PM Fed's Bullard speaks on Monetary Policy
Friday 9:55AM Consumer Confidence (exp. 82.0, prev. 81.2)
*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 23rd, 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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