Interest Rate Indications
For EXCLUSIVE USE by clients of The Corporation for Interest Rate Management
Monday, April 7, 2014
LIBOR Caps (basis points upfront — not per annum) *
Strike
0.75%
1.00%
1.25%
1.50%
1.75%
2.00%
2.25%
2.50%
2.75%
3.00%
4.00%
1-Year
1.0
0.6
0.4
0.3
0.2
0.1
0.1
0.1
0.1
0.1
0.1
2-Year
31.9
25.5
20.7
17.0
14.0
11.6
9.8
8.3
6.8
5.6
3.1
3-Year
146
125
107
90
77
65
56
49
42
37
21
LIBOR Caps Starting in 1 Year *
4-Year
337
296
259
225
195
168
147
129
113
99
59
5-Year
578
517
462
409
361
317
282
249
222
197
124
7-Year
1,129
1,030
938
846
763
681
615
552
497
446
291
10-Year
1,978
1,827
1,684
1,540
1,406
1,272
1,161
1,055
960
869
584
1-Year
30.9
24.9
20.3
16.7
13.8
11.5
9.7
8.2
6.8
5.5
3.1
2-Year
145
124
106
90
77
65
56
49
42
37
21
3-Year
336
295
259
225
195
168
147
129
113
99
59
4-Year
577
516
461
408
361
317
281
249
222
197
124
* 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
9-month
12-month
2-year
3-year
4-Year
5-year
7-year
10-year
30-Year
LIBOR
0.087%
0.118%
0.152%
0.193%
0.229%
0.327%
NA
0.552%
U.S. Treasury
Yields
Monthly
Payments
***
Quarterly
Payments
**
Cap Premiums at:
Swap Rate
Swap Rate
+ 1.00%
0.002%
1.664%
2.250%
2.686%
3.550%
0.00% to 0.25%
0.09%
0.75%
3.25%
0.02%
3-Month LIBOR FRAs
0.024%
0.046%
0.101%
0.397%
0.840%
Fed Funds (Target)
Fed Funds (Effective)
Primary Credit Rate
Prime Rate
FNMA Discount Notes (3 mos)
1 mo fwd
2 mos fwd
3 mos fwd
0.19%
0.45%
0.88%
1.30%
1.66%
2.20%
2.69%
3.42%
0.26%
0.52%
0.95%
1.38%
1.74%
2.27%
2.76%
3.47%
*** 1-month LIBOR index
** 3-month LIBOR index
Copyright © 2014 The Corporation for Interest Rate Management. All rights reserved.
40
18
135
71
252
143
378
231
628
412
982
667
Available upon request
0.232%
0.237%
0.242%
6 mos fwd
9 mos fwd
12 mos fwd
0.261%
0.325%
0.440%
Forward 3-Month LIBOR (Eurodollar Futures)
2014
Q1
Q2
Q3
Q4
0.237%
0.257%
2015
0.297%
0.403%
0.582%
0.808%
2016
1.078%
1.370%
1.673%
1.963%
Interest Rate Indications
For EXCLUSIVE USE by clients of The Corporation for Interest Rate Management
Monday, April 7, 2014
Historical Daily Interest Rates for the Past 12 Months
10-Year Swap Rates & Treasury Yields
LIBOR
4.50%
2.00%
1.50%
1-Month LIBOR
4.00%
10-Year Swap
12-Month LIBOR
3.50%
10-Year Treasury
3.00%
1.00%
2.50%
2.00%
0.50%
1.50%
0.00%
4/1/13
7/1/13
10/1/13
1/1/14
4/1/14
1.00%
4/1/13
7/1/13
10/1/13
Economic News
Monday
7
Consumer Credit (Feb)
Auction 13-Week Bill
Auction 26-Week Bill
Tuesday
8
Auction 4-Week Bill
Auction 3-Year Note
Wednesday
9
Wholesale Trade (Feb)
FOMC Minutes (3/19)
Auction 10-Year Note
Thursday
10
Weekly Unemployment Claims
Import and Export Prices (Mar)
Treasury Budget (Mar)
Auction 30-Year Bond
14
Retail Sales (Mar)
Business Inventories (Feb)
Auction 13-Week Bill
Auction 26-Week Bill
15
Consumer Price Index (Mar)
Empire State Mfg Survey (May)
Treasury Int'l Capital (Feb)
Housing Market Index (Apr)
16
Housing Starts (Mar)
Industrial Production (Feb)
17
Weekly Unemployment Claims
Philadelphia Fed Survey (Apr)
Auction 5-Year TIPS
Copyright © 2014 The Corporation for Interest Rate Management. All rights reserved.
1/1/14
4/1/14
2-Week Outlook
Friday
11
Producer Price Index (Mar)
Consumer Sentiment (Apr)
18
Leading Indicators (Mar)
London Holiday
CIRM Closed