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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


10/18/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/17/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.7589 2-Mo: 1.7161 3-Mo: 1.6840   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5916 1-Yr:   1.5051 ICE-SETTLED LIBOR 10/18/19: 1-Mo: 1.85025 3-Mo: 1.95325 6-Mo: 1.95175 1-Yr:   1.98725
10/17/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/16/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.7699 2-Mo: 1.7191 3-Mo: 1.6854   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5900 1-Yr:   1.4955 ICE-SETTLED LIBOR 10/17/19: 1-Mo: 1.84683 3-Mo: 1.96588 6-Mo: 1.97450 1-Yr:   1.99313
10/16/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/15/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.7846 2-Mo: 1.7324 3-Mo: 1.6987   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.6072 1-Yr:  1.5146 ICE-SETTLED LIBOR 10/16/19: 1-Mo: 1.87750 3-Mo: 2.00325 6-Mo: 1.98588 1-Yr:   1.99225
10/10/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/9/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.8041 2-Mo: 1.7302 3-Mo: 1.6821   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5463 1-Yr:  1.4013 ICE-SETTLED LIBOR 10/10/19: 1-Mo: 1.9213 3-Mo: 1.9861 6-Mo: 1.9355 1-Yr:   1.8960
10/09/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/8/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.8078 2-Mo: 1.7331 3-Mo: 1.6827   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5331 1-Yr:   1.3741 ICE-SETTLED LIBOR 10/9/19: 1-Mo: 1.9274 3-Mo: 1.9843 6-Mo: 1.9428 1-Yr:   1.8819
10/08/19 MBA Mortgage Applications 8.1% actual 0600 hrs cst Jolt Job Openings expected 7250 v. 7217 prior 0900 hrs cst Wholesale Trade Sales m/m expected 0.3% prior 0900 hrs cst Wholesale Inventories m/m 0.4% ...
10/08/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/7/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.8200 2-Mo: 1.7480 3-Mo: 1.6990   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5496 1-Yr:   1.3888 ICE-SETTLED LIBOR 10/8/19: 1-Mo: 1.9388 3-Mo: 2.0095 6-Mo: 1.9634 1-Yr:   1.8885
10/07/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/4/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.8201 2-Mo: 1.7480 3-Mo: 1.7017   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5487 1-Yr:   1.3739 ICE-SETTLED LIBOR 10/7/19: 1-Mo: 1.94025 3-Mo: 2.01200 6-Mo: 1.96038 1-Yr:   1.86775
10/04/19 Consumer Credit $15.000b v. $23.294b 1400 hrs cst. Minneapolis Fed Presient Kashkari (alternate voter) discusses Fed's work on the Native American reservations 0920 hrs cst 3-month bill auction ($45b) 6-month bill auction ($42b)
10/04/19 FUTURES IMPLIED 'SPOT' TERM RATES – 10/3/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.8821 2-Mo: 1.8696 3-Mo: 1.7474   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5852 1-Yr:   1.3787 ICE-SETTLED LIBOR 10/4/19: 1-Mo: 1.9780 3-Mo: 2.0270 6-Mo: 1.9506 1-Yr:   1.8531