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RATES
Treasury Rates
3 month 0.01%
6 month 0.35%
1 year 0.07%
2 year 0.38%
3 year 0.81%
5 year 1.46%
7 year 1.90%
10 year 2.22%
30 year 2.98%
Swaps - Monthly Money*
Maturity
1 year 0.22% n/a n/a n/a
2 year 0.55% 0.88% 1.10% n/a
3 year 0.95% 1.32% 1.53% 1.76%
5 year 1.50% 1.82% 2.00% 2.15%
10 year 2.22% 2.46% 2.58% 2.68%
Caps - Percentage of Notional* 1.00% 2.00% 3.00% 4.00%
1 year 0.012% 0.003% 0.001% 0.001%
2 year 0.310% 0.110% 0.050% 0.025%
3 year 1.295% 0.610% 0.300% 0.160%
4 year 2.690% 1.425% 0.760% 0.420%
5 year 4.370% 2.490% 1.405% 0.820%
MAJOR ECONOMIC RELEASES
Time
Tuesday N/A Monthly Budget Statement (exp. $82.1B, prev. $75.1B)
Wednesday 8:30AM PPI Final Demand MoM (exp. 0.10%, prev. 0.00%)
Thursday 8:30AM Initial Jobless Claims (exp. 290K, prev. 287K)
Friday 8:30AM Housing Starts (exp. 1010K, prev. 956K)
*cap premiums represented as a percentage of the original notional amount; assumes
monthly payments, 1-month LIBOR, interest only, and ACT/360
Report
Tuesday, October 14th, 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%
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%
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