Cap Efficiency Surface

Premium minus PV of projected payout, across strike and term, under shocked forward curves. Structures where the cap is expected to pay back more than it costs are more efficient; structures where the premium meaningfully exceeds expected payback are less efficient.

Notional
$
Parallel rate shock +0 bps
Forward curve
Click and drag across the chart to sketch a new curve
Resets
Edit individual reset rates (%)
# Period start Rate
More efficient (PV payout exceeds premium) Break-even Less efficient (premium exceeds PV payout)
Methodology — PV of projected payout is computed period-by-period using the Pensford 1M Term SOFR forward curve. In parallel-shock mode, every reset shifts by the same number of basis points. In custom mode, each reset can be set independently by dragging points, drawing a curve, or editing the table. Discount factors and accrual fractions held constant. Premium and PV payout both scale linearly with notional. Forward curve sourced from Pensford MCP on 2026-05-13.