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

Click here to download a pdf of this article, Settles11.19.pdf
 
 

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

Click here to download a pdf of this article, Settles11.18.pdf
 
 

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

Click here to download a pdf of this article, Settles11.15.pdf
 
 

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

Click here to download a pdf of this article, Settles11.15.pdf
 
 

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

Click here to download a pdf of this article, settles11.13.pdf
 
 

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

Click here to download a pdf of this article, Settles11.12.pdf
 
 

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

Click here to download a pdf of this article, settles11.8.pdf
 
 

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

Click here to download a pdf of this article, settles11.7.pdf
 
 

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

Click here to download a pdf of this article, settles11.6.pdf
 
 

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

Click here to download a pdf of this article, settles11.6.pdf