October 26, 2015
Independent Derivative and Risk Advisors, Providing Interest Rate and Currency Hedging Expertise
Services
Last Week: A quiet week for data eventually saw equities rally and yields push through their upper ranges.
Overseas events were the catalyst, as dovish comments from Europe’s central bank Chief hinted at further
easing ahead, and China cut interest rates in a surprise move. The US Dollar rallied, putting additional restraint
on US economic activity and inflation.
Week Ahead: Recent ranges for rates should remain intact ahead of a busy week for economic data and the
conclusion of the Fed meeting on Wednesday. On tap is a packed calendar of Tier 1 data releases such as
Durable Goods orders, measures of wholesale purchasing, consumer confidence, personal income and
spending, manufacturing / service sector activity and Q3 GDP.
Take Away: The chance of a surprise rate hike from the Fed at this week’s Fed meeting is ZERO. Since the last
meeting in mid-September, employment growth has waned and economic activity has weakened. Mix in
growing political uncertainty over the looming debt ceiling, and you’ve got a recipe for Fed stasis.
Despite the gloom, the Fed’s post meeting statement should conclude that conditions are close to ideal for a
rate hike. Whether the Fed moves in Dec will depend on economic data. This week's data calendar won’t be
conclusive, with GDP likely to report slowing but solid domestic demand, and other releases unlikely to show
a significant change in tone. Manufacturing should continue to look like a weak spot but any upside surprises
will grab attention. After this week, the October jobs data due on Nov 6 is the next major event.

Interest Rate and
Currency Hedge
Advising

New Interest Rate
Caps and Swaps

Hedge Modifications
and Terminations

ISDA Negotiations

Dodd-Frank
Compliance

Mark to Market and
Hedge Accounting
LIBOR Futures
10-Year Treasury
Treasury Rates
Last
Week Ago
Month Ago
Year Ago
Taxable Swap Rates
Last
Week Ago
Month Ago Year Ago
2-yr Trea s ury
0.633
0.587
0.692
0.386
2-yr LIBOR Swa p
Ca l l
0.711
0.794
0.644
3-yr Trea s ury
0.934
0.880
0.989
0.814
3-yr LIBOR Swa p
Ca l l
0.957
1.056
1.052
5-yr Trea s ury
1.401
1.337
1.474
1.496
5-yr LIBOR Swa p
Ca l l
1.364
1.493
1.674
7-yr Trea s ury
1.781
1.719
1.862
1.941
7-yr LIBOR Swa p
Ca l l
1.6799
1.824
2.057
10-yr Trea s ury
2.062
2.0228
2.162
2.2685
10-yr LIBOR Swa p
Ca l l
1.9905
2.143
2.413
Index Rates
Last
Week Ago
Month Ago
Year Ago
Agency Rate Caps
1-Month LIBOR
0.19350
0.19600
0.1943
0.15200
3-yr LIBOR Ca p
15
6
5
5
3-Month LIBOR
0.32290
0.31665
0.3261
0.23310
4-yr LIBOR Ca p
42
22
12
7
LIBOR = 3% LIBOR = 4% LIBOR = 5% LIBOR = 6%
6-Month LIBOR
0.52690
0.51790
0.53610
0.32290
5-yr LIBOR Ca p
87
48
29
18
12-Month LIBOR
0.83190
0.82615
0.86085
0.54255
7-yr LIBOR Ca p
212
128
83
58
Fed Funds Ta rget
0.25
0.25
0.25
0.25
Fwd Implied 3mL Rate
Last
Last
FX
Pri me Ra te
3.25
3.25
3.25
3.25
Dec-15
0.38
Dec-17
1.41
1.1053
SIFMA Muni Swa p
Ca l l
0.02
0.02
0.04
Dec-16
0.885
Dec-18
1.85
120.95
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