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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


12/13/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/12/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6121 2-Mo: 1.5986 3-Mo: 1.5893   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5683 1-Yr:   1.5174 ICE-SETTLED LIBOR 12/13/19: 1-Mo: 1.73738 3-Mo: 1.89963 6-Mo: 1.90288 1-Yr:   1.96388
12/12/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/11/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6361 2-Mo: 1.6167 3-Mo: 1.5995   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5599 1-Yr:   1.4946 ICE-SETTLED LIBOR 12/12/19: 1-Mo: 1.73980 3-Mo: 1.89360 6-Mo: 1.88640 1-Yr:   1.93290
12/11/19 PPI Final Demand m/m expected 0.2% v. 0.4% prior 0730 hrs cst PPI x-food and energy m/m expected 0.2% v. 0.3% prior 0730 hrs cst  PPI Final Demand y/y expected 1.3% v. 1.1% ...
12/11/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/10/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6378 2-Mo: 1.6209 3-Mo: 1.6039   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5660 1-Yr:   1.5088 ICE-SETTLED LIBOR 12/11/19: 1-Mo: 1.74050 3-Mo: 1.88740 6-Mo: 1.88830 1-Yr:   1.94330
12/10/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/09/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6284 2-Mo: 1.6132 3-Mo: 1.5961   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5553 1-Yr:   1.4903 ICE-SETTLED LIBOR 12/10/19: 1-Mo: 1.73560 3-Mo: 1.88730 6-Mo: 1.87860 1-Yr:   1.93290
12/06/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/05/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6250 2-Mo: 1.6160 3-Mo: 1.5957   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5483 1-Yr:   1.4772 ICE-SETTLED LIBOR 12/06/19: 1-Mo: 1.71510 3-Mo: 1.89050 6-Mo: 1.88680 1-Yr:   1.92313
12/04/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/03/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6209 2-Mo: 1.6144 3-Mo: 1.5954   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5464 1-Yr:   1.4614 ICE-SETTLED LIBOR 12/04/19: 1-Mo: 1.71310 3-Mo: 1.88710 6-Mo: 1.88750 1-Yr:   1.91700
12/03/19 FUTURES IMPLIED 'SPOT' TERM RATES – 12/02/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6214 2-Mo: 1.6169 3-Mo: 1.5981   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5599 1-Yr:  1.4895 ICE-SETTLED LIBOR 12/03/19: 1-Mo: 1.70363 3-Mo: 1.89150 6-Mo: 1.89538 1-Yr:   1.93663
12/02/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/29/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6269 2-Mo: 1.6239 3-Mo: 1.6073   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5715 1-Yr:   1.5174 ICE-SETTLED LIBOR 12/02/19: 1-Mo: 1.69380 3-Mo: 1.90010 6-Mo: 1.90610 1-Yr:   1.96250
11/27/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/26/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6251 2-Mo: 1.6272 3-Mo: 1.6096   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5704 1-Yr:   1.5054 ICE-SETTLED LIBOR 11/27/19: 1-Mo: 1.69110 3-Mo: 1.91380 6-Mo: 1.90690 1-Yr:   1.93980