You are on page 1of 1

Generally, this material is for informational purposes only and is not intended as an offer or solicitation for the purchase

or sale of any financial
instrument or as an official confirmation of any transaction. Your receipt of this material does not create a client relationship with us and we are
not acting as fiduciary or advisory capacity to you by providing the information herein. All market prices, data and other information are not
warranted as to completeness or accuracy and are subject to change without notice. This material may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure under applicable law. Though the information herein may discuss certain legal
and tax aspects of financial instruments, Pensford Financial Group, LLC does not provide legal or tax advice. The contents herein are the
copyright material of Pensford Financial Group, LLC and shall not be copied, reproduced, or redistributed without the express written permission
of Pensford Financial Group, LLC.
704-887-9880 office
jp.conklin@pensfordfinancial.com
www.pensfordfinancial.com
RATES
Treasury Rates
3 month 0.02%
6 month 0.04%
1 year 0.10%
2 year 0.55%
3 year 1.01%
5 year 1.71%
7 year 2.14%
10 year 2.43%
30 year 3.13%
Swaps - Monthly Money*
Maturity
1 year 0.26% n/a n/a n/a
2 year 0.69% 1.13% 1.39% n/a
3 year 1.16% 1.61% 1.86% 2.10%
5 year 1.74% 2.13% 2.31% 2.47%
10 year 2.44% 2.70% 2.82% 2.92%
Caps - Percentage of Notional* 1.00% 2.00% 3.00% 4.00%
1 year 0.015% 0.004% 0.001% 0.001%
2 year 0.450% 0.160% 0.065% 0.030%
3 year 1.695% 0.810% 0.390% 0.200%
4 year 3.340% 1.795% 0.940% 0.510%
5 year 5.200% 2.995% 1.670% 0.955%
MAJOR ECONOMIC RELEASES
Time
Tuesday 3:00PM Consumer Credit (exp. $20B, prev. $26B)
Wednesday 2:00PM September 16-17 FOMC Meeting Minutes
Thursday 8:30AM Initial Jobless Claims (exp. 293K, prev. 287K)
8:30AM Continuing Claims (exp. 2410K, prev. 2389K)
Friday 8:30AM Import Prices MoM (exp. -0.70%, prev. -0.90%)
*cap premiums represented as a percentage of the original notional amount; assumes
monthly payments, 1-month LIBOR, interest only, and ACT/360
Report
Monday, October 6th, 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. 0 0%
3. 0 0%
4. 00%
0.0%
1.0%
2.0%
3.0%
4.0%
1
0
/
1
4
0
1
/
1
5
0
4
/
1
5
0
7
/
1
5
1
0
/
1
5
0
1
/
1
6
0
4
/
1
6
0
7
/
1
6
1
0
/
1
6
0
1
/
1
7
0
4
/
1
7
0
7
/
1
7
1
0
/
1
7
0
1
/
1
8
0
4
/
1
8
0
7
/
1
8
1
0
/
1
8
0
1
/
1
9
0
4
/
1
9
0
7
/
1
9
1-month LIBOR Forward Curve