The Interest Rate People

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Quick Rates

Treasurys

Term Last Change
2 year 1.531% -0.08
5 year 1.414% -0.08
7 year 1.476% -0.08
10 year 1.533% -0.08

Swaps

Term Last Change
2 year 1.345% -0.09
5 year 1.212% -0.10
7 year 1.238% -0.10
10 year 1.299% -0.10

Floating Indices

Term Last Change
1M LIBOR 2.145% -0.02
Fed Funds 2.250% 0.00
SOFR 2.090% 0.00
Prime 5.250% 0.00

Interest Rates

Caps Calculator

$
Strike 12 Months 24 Months 36 Months 48 Months
2.50% $13,000 $20,000 $40,000 $75,000
3.00% $9,000 $14,000 $24,000 $47,000
3.50% $9,000 $12,000 $17,000 $27,000
4.00% $9,000 $9,000 $12,000 $22,000

Swaps

Bank
CMBS
Term Last Change
2 year 1.345% -0.09
3 year 1.268% -0.09
5 year 1.212% -0.10
7 year 1.238% -0.10
10 year 1.299% -0.10

Latest market driven forward curves for cashflow modeling, including shock scenarios.

Captures stress in the banking industry, which in turn slows lending and investment.

Floating Indices

Term Last Change
1M LIBOR 2.145% -0.02
3M LIBOR 2.132% -0.02
Fed Funds 2.250% 0.00
SOFR 2.090% 0.00

Market positions on 10yr rates which suggests bias for higher/lower rates.

German Bund is the primary alternative to 10T. If Bund moves higher, gives room for 10T to move higher.

Interest rates accounting for inflation.

Interpolated market projections for future 10 year Treasury yields.

An inverted yield curve signals a recession about 2 years in advance.

Historically, this spread has been 0.31%. Will the current spread regress to the mean?

Treasurys

Term Last Change
2 year 1.531% -0.08
3 year 1.451% -0.08
5 year 1.414% -0.08
7 year 1.476% -0.08
10 year 1.533% -0.08

10T Forward Rate

Term Last
1-Yr Fwd 1.62%
2-Yr Fwd 1.69%
3-Yr Fwd 1.77%
4-Yr Fwd 1.84%
5-Yr Fwd 1.91%

Fed’s preferred measure of inflation, with a 2% long term goal.

Measures the degree of financial stress in the market via 18 data series.

Generally a lagging indicator, sub-100 strongly suggests we are in a recession.

When loan growth contracts, we generally have a recession.

Delinquency rates above 1.5% start raising serious concerns.

Above 0 indicated tight financial conditions, while below 0 indicate loose financial conditions.

Readings above 20 have always resulted in a recession, but doesn’t provide much lead time.

Latest Newsletter

Hedging in a Falling Rate Environment

Last Week This Morning 10 Year Treasury tested 1.62% but fell again and closed out at 1.535% German bund had a benign week, closing at -0.68% The entire German yield curve is negative Japan 10yr unch at -0.24% Japan’s yield curve is negative out to 15 years 2 Year Treasury fell significantly and closed at […]

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