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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


08/16/19 3-month bill auction ($42b) 6-month bill auction ($42b)
08/16/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 15, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1105 2-Mo: 2.0300 3-Mo: 1.9233   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7356 1-Yr:   1.5164 ICE-SETTLED LIBOR: 1-Mo: 2.1721 3-Mo: 2.1359 6-Mo: 2.0168 1-Yr:   1.9450
08/15/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 14, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1169 2-Mo: 2.0372 3-Mo: 1.9315   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7580 1-Yr:   1.5392 ICE-SETTLED LIBOR: 1-Mo: 2.1820 3-Mo: 2.1238 6-Mo: 2.0140 1-Yr:   1.9325
08/14/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 13, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1390 2-Mo: 2.0645 3-Mo: 1.9629   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8066 1-Yr:   1.6023 ICE-SETTLED LIBOR: 1-Mo: 2.1974 3-Mo: 2.1684 6-Mo: 2.0799 1-Yr:   2.0290
08/13/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 12, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1389 2-Mo: 2.0608 3-Mo: 1.9511   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7712 1-Yr:   1.5579 ICE-SETTLED LIBOR: 1-Mo: 2.1951 3-Mo: 2.1581 6-Mo: 2.0340 1-Yr:   1.9701
08/09/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 8, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1416 2-Mo: 2.0783 3-Mo: 1.9803   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8082 1-Yr:   1.6000 ICE-SETTLED LIBOR: 1-Mo: 2.1943 3-Mo: 2.1756 6-Mo: 2.0520 1-Yr:  1.9879
08/08/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 7, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1406 2-Mo: 2.0762 3-Mo: 1.9705   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7806 1-Yr:   1.5708 ICE-SETTLED LIBOR: 1-Mo: 2.2009 3-Mo: 2.1810 6-Mo: 2.0503 1-Yr:  1.9930
08/07/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 6, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1574 2-Mo: 2.0919 3-Mo: 1.9942   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8249 1-Yr:   1.5970 ICE-SETTLED LIBOR: 1-Mo: 2.2113 3-Mo: 2.1845 6-Mo: 2.0467 1-Yr:   1.9770
08/05/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 2, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1747 2-Mo: 2.1131 3-Mo: 2.0216   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8807 1-Yr:   .6834 ICE-SETTLED LIBOR: 1-Mo: 2.2230 3-Mo: 2.2090 6-Mo: 2.0859 1-Yr:   2.0368
08/02/19 FUTURES IMPLIED 'SPOT' TERM RATES – August 1 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1976 2-Mo: 2.1517 3-Mo: 2.0640   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.9222 1-Yr:   1.7441 ICE-SETTLED LIBOR: 1-Mo: 2.2285 3-Mo: 2.2393 6-Mo: 2.1330 1-Yr:   2.1159