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The Fixed Income Group at RJO

FIG is a division of RJ O'Brien that focuses on hedging interest rate risk for mortgage pipeline and servicing portfolios, broker/dealer bond inventories, pension fund bond portfolios, multiple ABS classes, and similar financial portfolios.

FIG TOPICS OF INTEREST


07/16/19 FUTURES IMPLIED 'SPOT' TERM RATES – July 15 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.2647 2-Mo: 2.1752 3-Mo: 2.1221 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.033 1-Yr:  1.855 ICE-SETTLED LIBOR: 1-Mo: 2.30030 3-Mo: 2.29960 6-Mo: 2.20700 1-Yr:  2.21080
07/12/19 FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 11 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.2925 2-Mo: 2.210 3-Mo: 2.157 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.056 1-Yr:   1.881 ICE-SETTLED LIBOR: 1-Mo: 2.3320 3-Mo: 2.3222 6-Mo: 2.2292 1-Yr:   2.2311
07/11/19 FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 10 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.4475 2-Mo: 2.1327 3-Mo: 2.0984   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.040 1-Yr:   1.861 ICE-SETTLED LIBOR: 1-Mo: 2.32500 3-Mo: 2.30330 6-Mo: 2.21260 1-Yr:   2.19320
07/10/19 FUTURES IMPLIED 'SPOT' TERM RATES – JULY 9 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.4600 2-Mo: 2.2668 3-Mo: 2.2183   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.110 1-Yr:  1.940 ICE-SETTLED LIBOR: 1-Mo: 2.36910 3-Mo: 2.33950 6-Mo: 2.26230 1-Yr:   2.28570
07/09/19 FUTURES IMPLIED 'SPOT' TERM RATES – JULY 8 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.391 2-Mo: 2.237 3-Mo: 2.186 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.101 1-Yr:   1.932 ICE-SETTLED LIBOR: 1-Mo: 2.3686 3-Mo: 2.3408 6-Mo: 2.2568
07/08/19 FUTURES IMPLIED 'SPOT' TERM RATES – July 5 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.43000 2-Mo: 2.25973 3-Mo: 2.20217 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.103 1-Yr:   1.932 ICE-SETTLED LIBOR: 1-Mo: 2.37940 3-Mo: 2.33770 6-Mo: 2.25650 1-Yr:   2.26150
07/05/19 FUTURES IMPLIED 'SPOT' TERM RATES - JULY 4 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.42250 2-Mo: 2.25099 3-Mo: 2.18455 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.037 1-Yr:   1.843 ICE-SETTLED LIBOR: 1-Mo: 2.36650 3-Mo: 2.31138 6-Mo: 2.20975 1-Yr:   2.19163
07/03/19 FUTURES IMPLIED 'SPOT' TERM RATES – JULY 2 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.4175 2-Mo: 2.2378 3-Mo: 2.1694 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.047 1-Yr:   1.850 ICE-SETTLED LIBOR: 1-Mo: 2.36000 3-Mo: 2.28850 6-Mo: 2.20888 1-Yr:  2.18038
07/02/19 FUTURES IMPLIED 'SPOT' TERM RATES - JULY 1 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.4025 2-Mo: 2.2367 3-Mo: 2.1774 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.067 1-Yr:   1.876 ICE-SETTLED LIBOR: 1-Mo: 2.37950 3-Mo: 2.31300 6-Mo: 2.22638 1-Yr:   2.20313
06/28/19 FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 27 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.40460 2-Mo: 2.26458 3-Mo: 2.18512 DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 2.037 1-Yr:  1.826 ICE-SETTLED LIBOR: 1-Mo: 2.39800 3-Mo: 2.31980 6-Mo: 2.20050 1-Yr:   2.17810