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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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