With the Regulator takeover of Silicon Valley Bank and Signature Bank we’ve seen significant moves in interest rates and pricing for hedging products. Rates shown on ChathamRates are published with a delay and cap pricing on our cap pricing calculator is shown as of close of business the day prior, so may not accurately reflect current market conditions. Please contact Chatham directly for pricing on interest rate caps and any other hedges.
Interest Rate Cap Calculator
SOFR is the Secured Overnight Financing Rate, which is calculated based on overnight repo transactions. This cap pricing is based on New York Fed 30-Day Average SOFR, which is calculated by compounding the daily SOFR rate over a 30-day period.
This variation of SOFR is the index used in Fannie Mae and Freddie Mac floating-rate loans and by some bank, non-bank, and lifeco lenders. Non-Agency lenders may use other variations of SOFR, which may drive small changes in cap pricing.
Cap indications based on New York Fed 30-Day Average SOFR.
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Estimate your SOFR cap cost
Indications are not live pricing and are based on end-of-day rates from prior market close. They assume a New York Fed 30-Day Average SOFR index with A-/A3 downgrade triggers and do not account for such terms as partial interest periods, index rounding, and non-constant loan balances. Costs are exclusive of Chatham’s advisory fee. Please contact your Chatham Financial contact for more precise pricing or strategies for structuring your interest rate cap to reduce costs.
Notice: Cap pricing may change materially intraday based on changes in rates and rate volatility.
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Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.
Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.