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

Tuesday January 19th, 2016

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.57%
0.74%
0.91%
1.17%
1.69%

2.0%

1.5%
1.0%

0.5%
7/1

10/1

4/1

1/1

7/1

10/1

4/1

1/1

7/1

10/1

4/1

1/1

7/1

10/1

4/1

1/1

10/1

7/1

4/1

0.0%
1/1

0.23%
0.35%
0.46%
0.84%
1.08%
1.45%
1.80%
2.03%
2.81%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
0.92%
1.00%
n/a
1.09%
1.17%
1.26%
1.33%
1.40%
1.47%
1.83%
1.89%
1.95%

*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%
0.030%
0.300%
0.930%
1.820%
2.950%

2.00%
0.001%
0.060%
0.310%
0.740%
1.380%

3.00%
0.001%
0.010%
0.110%
0.320%
0.670%

4.00%
0.001%
0.001%
0.040%
0.150%
0.350%

*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
Wednesday
7:00 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM

4.0%

Cap Cost
1.00%

3.0%
2.00%

2.0%
3.00%

1.0%
4.00%

0.0%
1 year 2 year 3 year 4 year 5 year

Report
MBA Mortgage Applications
Housing Starts MoM
Building Permits MoM
CPI MoM
CPI YoY
CPI Ex Food and Energy YoY

Forecast
-2.30%
-6.40%
0.00%
0.80%
2.10%

Previous
21.30%
10.50%
11.00%
0.00%
0.50%
2.00%

Thursday

8:30 AM
8:30 AM

Initial Jobless Claims

Continuing Claims

280K
2256K

284K
2263K

Friday

10:00 AM
10:00 AM

Existing Home Sales

Leading Index

5.20M
-0.10%

4.76M
0.40%

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.