FIG Topics of Interest

 

12/13/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/12/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6121
2-Mo: 1.5986
3-Mo: 1.5893
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5683
1-Yr:   1.5174

ICE-SETTLED LIBOR 12/13/19:
1-Mo: 1.73738
3-Mo: 1.89963
6-Mo: 1.90288
1-Yr:   1.96388

Click here to download a pdf of this article, Settles 12.12.pdf
 
 

12/12/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/11/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6361
2-Mo: 1.6167
3-Mo: 1.5995
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5599
1-Yr:   1.4946

ICE-SETTLED LIBOR 12/12/19:
1-Mo: 1.73980
3-Mo: 1.89360
6-Mo: 1.88640
1-Yr:   1.93290

Click here to download a pdf of this article, settles12.11.pdf
 
 

12/11/19

PPI Final Demand m/m expected 0.2% v. 0.4% prior 0730 hrs cst
PPI x-food and energy m/m expected 0.2% v. 0.3% prior 0730 hrs cst 
PPI Final Demand y/y expected 1.3% v. 1.1% prior 0730 hrs cst
PPI x-food and energy y/y expected 1.7% v. 1.6% prior 0730 hrs cst 
Initial Claims expected 214k v. 203k prior 0730 hrs cst
Continuing Claims expected 1678k v. 1693k prior 0730 hrs cst

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

12/11/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/10/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6378
2-Mo: 1.6209
3-Mo: 1.6039
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5660
1-Yr:   1.5088

ICE-SETTLED LIBOR 12/11/19:
1-Mo: 1.74050
3-Mo: 1.88740
6-Mo: 1.88830
1-Yr:   1.94330

Click here to download a pdf of this article, settles12.10.pdf
 
 

12/10/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/09/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6284
2-Mo: 1.6132
3-Mo: 1.5961
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5553
1-Yr:   1.4903

ICE-SETTLED LIBOR 12/10/19:
1-Mo: 1.73560
3-Mo: 1.88730
6-Mo: 1.87860
1-Yr:   1.93290

Click here to download a pdf of this article, settles 12.9.pdf
 
 

12/06/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/05/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6250
2-Mo: 1.6160
3-Mo: 1.5957
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5483
1-Yr:   1.4772

ICE-SETTLED LIBOR 12/06/19:
1-Mo: 1.71510
3-Mo: 1.89050
6-Mo: 1.88680
1-Yr:   1.92313

Click here to download a pdf of this article, settles12.5.pdf
 
 

12/04/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/03/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6209
2-Mo: 1.6144
3-Mo: 1.5954
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5464
1-Yr:   1.4614

ICE-SETTLED LIBOR 12/04/19:
1-Mo: 1.71310
3-Mo: 1.88710
6-Mo: 1.88750
1-Yr:   1.91700

Click here to download a pdf of this article, Settles12.3.pdf
 
 

12/03/19

FUTURES IMPLIED 'SPOT' TERM RATES – 12/02/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6214
2-Mo: 1.6169
3-Mo: 1.5981
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5599
1-Yr:  1.4895

ICE-SETTLED LIBOR 12/03/19:
1-Mo: 1.70363
3-Mo: 1.89150
6-Mo: 1.89538
1-Yr:   1.93663

Click here to download a pdf of this article, settles.12.2.pdf
 
 

12/02/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/29/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6269
2-Mo: 1.6239
3-Mo: 1.6073
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5715
1-Yr:   1.5174

ICE-SETTLED LIBOR 12/02/19:
1-Mo: 1.69380
3-Mo: 1.90010
6-Mo: 1.90610
1-Yr:   1.96250

Click here to download a pdf of this article, settles11.29.pdf
 
 

11/27/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/26/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6251
2-Mo: 1.6272
3-Mo: 1.6096
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5704
1-Yr:   1.5054

ICE-SETTLED LIBOR 11/27/19:
1-Mo: 1.69110
3-Mo: 1.91380
6-Mo: 1.90690
1-Yr:   1.93980

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