FIG Topics of Interest

 

06/27/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 26 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.43697
2-Mo: 2.29373
3-Mo: 2.21135

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.064
1-Yr:   1.850

ICE-SETTLED LIBOR:
1-Mo: 2.4023
3-Mo: 2.3188
6-Mo: 2.2133
1-Yr:  2.1846

Click here to download a pdf of this article, settles6.26.pdf
 
 

06/26/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 25 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.44047
2-Mo: 2.30017
3-Mo: 2.21617

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.025
1-Yr:   1.794

ICE-SETTLED LIBOR:
1-Mo: 2.40230
3-Mo: 2.32980
6-Mo: 2.19970
1-Yr:  2.18320

Click here to download a pdf of this article, settles6.25.pdf
 
 

06/25/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 24 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4363
2-Mo: 2.2730
3-Mo: 2.1831

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.014
1-Yr:   1.786

ICE-SETTLED LIBOR:
1-Mo: 2.4041
3-Mo: 2.3112
6-Mo: 2.1827
1-Yr:   2.1473

Click here to download a pdf of this article, settles6.24.pdf
 
 

06/24/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 21 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.42341
2-Mo: 2.22993
3-Mo: 2.22069

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.051
1-Yr:  1.829

ICE-SETTLED LIBOR:
1-Mo: 2.4017
3-Mo: 2.3380
6-Mo: 2.2098
1-Yr:   2.1787

Click here to download a pdf of this article, Settles6.21.pdf
 
 

06/21/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 20 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4230
2-Mo: 2.3065
3-Mo: 2.2161

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.027
1-Yr:  1.794

ICE-SETTLED LIBOR:
1-Mo: 2.4043
3-Mo: 2.3492
6-Mo: 2.2201
1-Yr:  2.2001

Click here to download a pdf of this article, Settles6.20.pdf
 
 

06/20/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4132
2-Mo: 2.2935
3-Mo: 2.2200

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.067
1-Yr:   1.832

ICE-SETTLED LIBOR:
1-Mo: 2.4036
3-Mo: 2.3431
6-Mo: 2.2167
1-Yr:   2.1615

Click here to download a pdf of this article, Settles6.19.pdf
 
 

06/19/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 18 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.3791
2-Mo: 2.3069
3-Mo: 2.2454

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.134
1-Yr:   1.930

ICE-SETTLED LIBOR:
1-Mo: 2.3833
3-Mo: 2.3861
6-Mo: 2.3000
1-Yr:   2.2977

Click here to download a pdf of this article, Settles6.18.pdf
 
 

06/18/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 17 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.3611
2-Mo: 2.2834
3-Mo: 2.2199

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.140
1-Yr:  1.925

ICE-SETTLED LIBOR:
1-Mo: 2.3828
3-Mo: 2.3866
6-Mo: 2.2980
1-Yr:   2.2643

Click here to download a pdf of this article, settles6.17.pdf
 
 

06/17/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 14 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.3952
2-Mo: 2.3320
3-Mo: 2.2662

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.127
1-Yr: 1.908

ICE-SETTLED LIBOR:
1-Mo: 2.3902
3-Mo: 2.4185
6-Mo: 2.3087
1-Yr: 2.2867

Click here to download a pdf of this article, settles6.14.pdf
 
 

06/14/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 13 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.3765
2-Mo: 2.3089
3-Mo: 2.2371

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.117
1-Yr:   1.892

ICE-SETTLED LIBOR:
1-Mo: 2.38175
3-Mo: 2.40200
6-Mo: 2.27738
1-Yr:   2.24650

Click here to download a pdf of this article, settles6.13.pdf