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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


09/17/19 FUTURES IMPLIED 'SPOT' TERM RATES – 9/16/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.1622 2-Mo: 2.1124 3-Mo: 1.9853   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8273 1-Yr:   1.6542 ICE-SETTLED LIBOR 9/17/19: 1-Mo: 2.0570 3-Mo: 2.1641 6-Mo: 2.0853 1-Yr:  2.0654
09/16/19 FUTURES IMPLIED 'SPOT' TERM RATES – 9/13/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0979 2-Mo: 2.0669 3-Mo: 1.9498   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.8185 1-Yr:   1.6651 ICE-SETTLED LIBOR 9/16/19: 1-Mo: 2.04088 3-Mo: 2.14513 6-Mo: 2.07800 1-Yr:   2.06963
09/13/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 12, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0634 2-Mo: 2.0430 3-Mo: 1.9357   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7969 1-Yr:   1.6415 ICE-SETTLED LIBOR 9/13/2019: 1-Mo: 2.0248 3-Mo: 2.1394 6-Mo: 2.0703 1-Yr:   2.0491
09/12/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 11, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0683 2-Mo: 2.0479 3-Mo: 1.9277   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7731 1-Yr:   1.5957 ICE-SETTLED LIBOR: 1-Mo: 2.0275 3-Mo: 2.1185 6-Mo: 2.0473 1-Yr:   2.0056
09/11/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 10, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0633 2-Mo: 2.0444 3-Mo: 1.9182   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7651 1-Yr:   1.5871 ICE-SETTLED LIBOR: 1-Mo: 2.0359 3-Mo: 2.1273 6-Mo: 2.0529 1-Yr:   2.0086
09/10/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 9, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0590 2-Mo: 2.0442 3-Mo: 1.9177   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7558 1-Yr:   1.5552 ICE-SETTLED LIBOR: 1-Mo: 2.0386 3-Mo: 2.1316 6-Mo: 2.0351 1-Yr:   1.9704
09/04/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 3, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0402 2-Mo: 1.9492 3-Mo: 1.8703   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7078 1-Yr:   1.4777 ICE-SETTLED LIBOR: 1-Mo: 2.0572 3-Mo: 2.1123 6-Mo: 1.9872 1-Yr:   1.8968
09/03/19 FUTURES IMPLIED 'SPOT' TERM RATES – September 2, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0638 2-Mo: 2.0561 3-Mo: 1.9098   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7384 1-Yr:   1.4904 ICE-SETTLED LIBOR: 1-Mo: 2.06688 3-Mo: 2.12663 6-Mo: 2.01238 1-Yr:   1.93638
08/30/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 29, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0815 2-Mo: 1.9984 3-Mo: 1.9209   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7727 1-Yr:   1.5655 ICE-SETTLED LIBOR: 1-Mo: 2.0890 3-Mo: 2.1376 6-Mo: 2.0365 1-Yr:   1.9740
08/29/19 FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 28, SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 2.0804 2-Mo: 1.9957 3-Mo: 1.9162   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.7524 1-Yr:   1.5228 ICE-SETTLED LIBOR: 1-Mo: 2.1003 3-Mo: 2.1318 6-Mo: 2.0314 1-Yr:   1.9614