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Rates Update

Published May 25, 2017  /  In Weekly Market Updates

Last Week's Market Moves

A flattening curve cuts the "cost" of fixing interest rates. The 10T is back below 2.30% and swap spreads are negative. The mid market 10year swap rate is 2.21%, 7bps lower than the Treasury.  3mo Libor is 1.19% and so the 10 year pay-up to fix is 100bps, the 5 year pay-up is 70bps. FOMC minutes show the Fed is ready to hike again and will begin shrinking its balance sheet this year - which will likely lead to higher rates.  Current rates offer an attractive hedging opportunity.









 


What to Look for This Week

The Memorial Day Holiday makes for a short week, but after a week of turmoil in Washington, terror in the UK and modest economic reports from the housing sector kept Treasury yields down, the market may be ready to re-focus on rising rates if Friday sees another strong jobs report.
 







 


1-month LIBOR Swap Rates**

MaturityAmortizationSwapMove
3 YearsBullet1.67%+1 bp
5 YearsBullet1.88%+2 bp
7 YearsBullet2.04%+2 bp
10 YearsBullet2.21%+2 bp
12 YearsBullet2.29%+2 bp
15 YearBullet2.38%+4 bp
20 YearBullet2.45%+4 bp

Treasury Market

TreasuriesYieldMove
2 Years1.28%0
3 Years1.45%0
5 Years1.79%+1 bp
10 Years2.25%+1 bp
30 Years2.93%- 3 bp
Move signifies change in swap rates or treasuries since 5/19/2017

**Note: Rates above are mid-market swap rates as of NY market close 5/25/2017. All rates are subject to change. Dealer pricing may include additional swap fees, contact PRM for swap pricing analysis and a detailed report on pricing, pre-payment risk and swap fees.

Disclaimer: The purpose of this communication is to provide general information and estimates as of swap pricing for indicative purposes only. To obtain an independent swap quote and swap risk evaluations for a specific financing please call PRM Swap Desk with the terms of the proposed transaction. PRM offers independent pricing for interest rate swaps, caps, floors, swaptions as well as analysis of swap, fixed rate loan and insurance loan pre-payment risk.