FIG Topics of Interest

 

01/21/20

January 21, 2019
FUTURES IMPLIED 'SPOT' TERM RATES

DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5779
3-Mo: 1.5866
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5696
1-Yr:   1.5092

ICE-SETTLED LIBOR
1-Mo: 1.6595
3-Mo: 1.8063
6-Mo: 1.8344
1-Yr:   1.9184

Click here to download a pdf of this article, SOFRcurveBldr01.21.20.pdf
 
 

01/17/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/17/19
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5723
3-Mo: 1.5860
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5755
1-Yr:   1.5235

ICE-SETTLED LIBOR
01/17/19
1-Mo: 1.6544
3-Mo: 1.8191
6-Mo: 1.8449
1-Yr:   1.9230

Click here to download a pdf of this article, SOFRcurveBldr01.17.20.pdf
 
 

01/16/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/16/19
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5736
3-Mo: 1.5884
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5734
1-Yr:   1.5133

ICE-SETTLED LIBOR
01/16/19
1-Mo: 1.6578
3-Mo: 1.8266
6-Mo: 1.8488
1-Yr:   1.9301

Click here to download a pdf of this article, SOFRcurveBldr01.16.20.pdf
 
 

01/14/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/14/19 SETTLES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5808
3-Mo: 1.5951
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5814
1-Yr:   1.5239

ICE-SETTLED LIBOR
01/14/19
1-Mo: 1.6696
3-Mo: 1.8426
6-Mo: 1.8645
1-Yr:   1.9631

Click here to download a pdf of this article, SOFRcurveBldr01.14.20.pdf
 
 

01/13/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/13/19 SETTLES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5760
3-Mo: 1.5888
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5756
1-Yr:   1.5212

ICE-SETTLED LIBOR
01/13/19
1-Mo: 1.67625
3-Mo: 1.83125
6-Mo: 1.87250
1-Yr:   1.96200

Click here to download a pdf of this article, SOFRcurveBldr01.10.20.pdf
 
 

01/10/20

January 13, 2019
Boston Fed President Rosengren (non voter) discusses the economic outlook 0900 hrs cst
Richmond Fed President Bostic (alternate voter) the economic outlook and monetary policy 1140 hrs cst
3-month bill auction $42b
6-month bill auction $36b
Monthly Budget Statement -$15.0b v. -$208.8b 1300 hrs cst
 

Click here to download a pdf of this article, Missile.pdf
 
 

01/10/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/09/19 SETTLES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5682
3-Mo: 1.5840
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5736
1-Yr:   1.5217

ICE-SETTLED LIBOR
01/10/19
1-Mo: 1.67660
3-Mo: 1.83780
6-Mo: 1.87210
1-Yr:   1.96660

Click here to download a pdf of this article, settles01.09.pdf
 
 

01/08/20

FUTURES IMPLIED 'SPOT' TERM RATES
01/07/19 SETTLES
DERIVED FROM 1-MONTH SOFR FUTURES
1-Mo: 1.5701
3-Mo: 1.5852
DERIVED FROM 3-MONTH SOFR FUTURES
6-Mo: 1.5685
1-Yr:   1.5046

ICE-SETTLED LIBOR
01/08/19
1-Mo: 1.67710
3-Mo: 1.83400
6-Mo: 1.87440
1-Yr:   1.95110

Click here to download a pdf of this article, settles01.07.20.pdf
 
 

01/07/20

FUTURES IMPLIED 'SPOT' TERM RATES 

DERIVED FROM 1-MONTH SOFR FUTURES -01/06/19 SETTLES
1-Mo: 1.5713
3-Mo: 1.5543

DERIVED FROM 3-MONTH SOFR FUTURES -01/06/19 SETTLES
6-Mo: 1.5620
1-Yr:   1.4947

ICE-SETTLED LIBOR 01/07/19:
1-Mo: 1.69900
3-Mo: 1.87800
6-Mo: 1.88050
1-Yr:   1.95450

Click here to download a pdf of this article, settles01.06.pdf
 
 

01/06/20

FUTURES IMPLIED 'SPOT' TERM RATES – 01/03/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.5640
2-Mo: 1.5717
3-Mo: 1.5732
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5583
1-Yr:   1.4955

ICE-SETTLED LIBOR 01/06/19:
1-Mo: 1.6921
3-Mo: 1.8723
6-Mo: 1.8943
1-Yr:   1.9549

Click here to download a pdf of this article, settles01.03.pdf