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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


11/20/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/19/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6196 2-Mo: 1.6147 3-Mo: 1.5936   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5375 1-Yr:   1.4530 ICE-SETTLED LIBOR 11/20/19: 1-Mo: 1.71560 3-Mo: 1.89880 6-Mo: 1.89110 1-Yr:   1.90930
11/19/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/18/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6113 2-Mo: 1.6076 3-Mo: 1.5910   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5422 1-Yr:   1.4740 ICE-SETTLED LIBOR 11/19/19: 1-Mo: 1.72160 3-Mo: 1.89460 6-Mo: 1.90700 1-Yr:   1.94160
11/18/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/15/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6070 2-Mo: 1.6059 3-Mo: 1.5917   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5427 1-Yr:   1.4679 ICE-SETTLED LIBOR 11/18/19: 1-Mo: 1.72360 3-Mo: 1.89850 6-Mo: 1.91890 1-Yr:   1.95340
11/18/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/15/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6070 2-Mo: 1.6059 3-Mo: 1.5917   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5427 1-Yr:   1.4679 ICE-SETTLED LIBOR 11/18/19: 1-Mo: 1.72360 3-Mo: 1.89850 6-Mo: 1.91890 1-Yr:   1.95340
11/14/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/13/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6187 2-Mo: 1.6152 3-Mo: 1.5957   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5444 1-Yr:   1.4825 ICE-SETTLED LIBOR 11/14/19: 1-Mo: 1.76525 3-Mo: 1.90410 6-Mo: 1.92160 1-Yr:   1.97710
11/13/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/12/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6169 2-Mo: 1.6137 3-Mo: 1.5978   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5531 1-Yr:   1.4996 ICE-SETTLED LIBOR 11/13/19: 1-Mo: 1.76540 3-Mo: 1.90990 6-Mo: 1.92230 1-Yr:  1.98700
11/12/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/8/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6126 2-Mo: 1.6121 3-Mo: 1.5993   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5607 1-Yr:   1.5205 ICE-SETTLED LIBOR 11/11/19: 1-Mo: 1.76160 3-Mo: 1.90930 6-Mo: 1.92610 1-Yr:   2.00560
11/08/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/7/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6081 2-Mo: 1.6111 3-Mo: 1.5995   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5621 1-Yr:   1.5242 ICE-SETTLED LIBOR 11/8/19: 1-Mo: 1.75900 3-Mo: 1.90060 6-Mo: 1.92300 1-Yr:   1.99980
11/07/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/6/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6108 2-Mo: 1.6129 3-Mo: 1.6005   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5508 1-Yr:   1.4989 ICE-SETTLED LIBOR 11/7/19: 1-Mo: 1.75800 3-Mo: 1.90138 6-Mo: 1.92263 1-Yr:   1.98300
11/06/19 FUTURES IMPLIED 'SPOT' TERM RATES – 11/5/19 SETTLES DERIVED FROM 1-MONTH SOFR FUTURES: 1-Mo: 1.6085 2-Mo: 1.6108 3-Mo: 1.5976   DERIVED FROM 3-MONTH SOFR FUTURES: 6-Mo: 1.5487 1-Yr:  1.4878 ICE-SETTLED LIBOR 11/6/19: 1-Mo: 1.7550 3-Mo: 1.9043 6-Mo: 1.9239 1-Yr:   1.9766