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RATES
Treasury Rates
3 month
6 month
1 year
2 year
3 year
5 year
7 year
10 year
30 year

Monday December 7th, 2015

1-month LIBOR Forward Curve

Swaps - Monthly Money*

Maturity
1 year
2 year
3 year
5 year
10 year

spot
0.62%
0.92%
1.16%
1.48%
2.00%

09/04/2020

06/04/2020

03/05/2020

12/05/2019

09/05/2019

06/06/2019

03/06/2019

12/06/2018

09/06/2018

06/06/2018

03/06/2018

12/06/2017

09/06/2017

06/06/2017

03/06/2017

12/06/2016

09/06/2016

06/06/2016

03/04/2016

2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
12/04/2015

0.22%
0.47%
0.57%
0.94%
1.24%
1.71%
2.06%
2.27%
3.01%

1-year 1.5-year 2-year

forward forward forward
n/a
n/a
n/a
1.22%
1.33%
n/a
1.44%
1.55%
1.66%
1.70%
1.79%
1.87%
2.16%
2.23%
2.29%

*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%
0.050%
0.490%
1.400%
2.520%
3.880%

2.00%
0.002%
0.100%
0.480%
1.050%
1.840%

3.00%
0.001%
0.020%
0.160%
0.430%
0.870%

4.00%
0.001%
0.010%
0.060%
0.190%
0.440%

*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
Tuesday
6:00 AM

5.0%
4.0%
3.0%
2.0%
1.0%
0.0%

Cap Cost
1.00%

2.00%

3.00%

4.00%

1 year 2 year 3 year 4 year 5 year

Report
NFIB Small Business Optimism

Forecast
96.4

Previous
96.1

Wednesday

7:00 AM
10:00 AM

MBA Mortgage Applications

Wholesale Inventories MoM

0.10%

-0.20%
0.50%

Thursday

8:30 AM
8:30 AM
8:30 AM

Import Price Index MoM

Initial Jobless Claims
Continuing Claims

-0.80%
268K
2153K

-0.50%
269K
2161K

Friday

8:30 AM
8:30 AM
8:30 AM
10:00 AM

Retail Sales Advance MoM

PPI Final Demand MoM
PPI Final Demand YoY
U. of Mich. Sentiment

0.30%
0.00%
-1.40%
92

0.10%
-0.40%
-1.60%
91.3

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