Interest Rate Indications
For EXCLUSIVE USE by clients of The Corporation for Interest Rate Management
Monday, June 1, 2015
LIBOR Caps (basis points upfront — not per annum) *
Strike
0.50%
1.00%
1.25%
1.50%
1.75%
2.00%
2.25%
2.50%
2.75%
3.00%
4.00%
1-Year
9.56
3.80
2.31
1.38
0.84
0.51
0.32
0.20
0.13
0.08
0.02
2-Year
77.4
46.5
35.6
27.0
20.2
14.9
11.3
8.5
6.3
4.6
1.5
3-Year
203
143
119
98
80
64
53
43
34
27
12
LIBOR Caps Starting in 1 Year *
4-Year
364
277
239
204
174
146
124
105
88
73
37
5-Year
551
437
384
334
288
245
212
182
154
129
67
7-Year
957
795
712
629
553
479
421
366
315
267
147
10-Year
1,591
1,373
1,245
1,113
989
863
766
671
580
491
270
1-Year
67.9
42.7
33.2
25.6
19.4
14.4
11.0
8.3
6.2
4.5
1.5
2-Year
193
139
116
96
79
64
52
43
34
27
12
3-Year
355
273
236
203
173
145
124
105
88
73
37
4-Year
541
433
381
332
287
245
212
181
154
128
67
* 1-month LIBOR index; theoretical mid-market values; generally subject to a minimum fixed charge; premium payable in 2 business days
Yield Curves — LIBOR / Treasury / Swaps
Other Data
Swap (Actual/360)
Term
o/n
1-week
1-month
2-month
3-month
6-month
12-month
2-year
3-year
4-Year
5-year
7-year
10-year
30-Year
LIBOR
0.123%
0.147%
0.183%
0.237%
0.283%
0.424%
0.748%
U.S. Treasury
Yields
Monthly
Payments
***
Quarterly
Payments
**
Cap Premiums at:
Swap Rate
Swap Rate
+ 1.00%
1.538%
1.919%
2.173%
2.937%
0.00% to 0.25%
0.08%
0.75%
3.25%
3-Month LIBOR FRAs
0.002%
0.003%
0.048%
0.247%
0.639%
0.969%
Fed Funds (Target)
Fed Funds (Effective)
Primary Credit Rate
Prime Rate
1 mo fwd
2 mos fwd
3 mos fwd
0.39%
0.75%
1.06%
1.31%
1.51%
1.81%
2.09%
2.52%
0.49%
0.87%
1.19%
1.45%
1.65%
1.95%
2.22%
2.64%
61
20
137
61
230
119
331
180
534
302
827
468
Available upon request
*** 1-month LIBOR index
** 3-month LIBOR index
Internal analysis based on data provided by Bloomberg Professional Services, as of Monday, June 1, 2015
Copyright © 2015 The Corporation for Interest Rate Management. All rights reserved.
0.317%
0.352%
0.385%
6 mos fwd
9 mos fwd
12 mos fwd
0.558%
0.756%
0.970%
Forward 3-Month LIBOR (Eurodollar Futures)
2015
Q1
Q2
Q3
Q4
0.293%
0.405%
2016
0.580%
0.770%
0.985%
1.210%
2017
1.420%
1.590%
1.750%
1.885%
Interest Rate Indications
For EXCLUSIVE USE by clients of The Corporation for Interest Rate Management
Monday, June 1, 2015
Historical Daily Interest Rates for the Past 12 Months
10-Year Swap Rates & Treasury Yields
LIBOR
3.25%
1.50%
1.00%
1-Month LIBOR
3.00%
12-Month LIBOR
2.75%
10-Year Swap
10-Year Treasury
2.50%
2.25%
0.50%
2.00%
1.75%
0.00%
6/1/14
9/1/14
12/1/14
3/1/15
6/1/15
1.50%
6/1/14
9/1/14
12/1/14
Economic News
Monday
Jun 1, 2015
Personal Income & Outlays (May)
PMI Manufacturing Index
ISM Manufacturing Index (May)
Construction Spending (Apr)
Auction 13-Week Bill
Auction 26-Week Bill
Tuesday
2
Motor Vehicle Sales (May)
Factory Orders (Apr)
Auction 4-Week Bill
Wednesday
3
International Trade (Apr)
PMI Services Index (May)
ISM Non-Mfg Index (May)
Beige Book
Thursday
4
Weekly Unemployment Claims
Productivity & Costs (Q1:15)
8
Auction 13-Week Bill
Auction 26-Week Bill
9
Wholesale Trade (Apr)
Auction 4-Week Bill
Auction 3-Year Note
10
Treasury Budget (May)
Auction 10-Year Note
11
Weekly Unemployment Claims
Retail Sales (May)
Import & Export Prices (May)
Business Inventories (Apr)
Auction 30-Year Bond
Internal analysis based on data provided by Bloomberg Professional Services, as of Monday, June 1, 2015
Copyright © 2015 The Corporation for Interest Rate Management. All rights reserved.
3/1/15
6/1/15
2-Week Outlook
Friday
5
Employment Situation (May)
Consumer Credit (Apr)
12
PPI-FD (May)
Consumer Sentiment (Jun)