FIG Topics of Interest

 

11/05/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/4/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6079
2-Mo: 1.6132
3-Mo: 1.5999
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5457
1-Yr:   1.4857

ICE-SETTLED LIBOR 11/5/19:
1-Mo: 1.7699
3-Mo: 1.8935
6-Mo: 1.9263
1-Yr:   1.9669

Click here to download a pdf of this article, settles11.4.pdf
 
 

11/04/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/1/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6167
2-Mo: 1.6230
3-Mo: 1.6092
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5456
1-Yr:   1.4717

ICE-SETTLED LIBOR 11/4/19:
1-Mo: 1.7710
3-Mo: 1.9083
6-Mo: 1.9246
1-Yr:   1.9600

Click here to download a pdf of this article, settles11.1.pdf
 
 

11/01/19

November 4
Durable Goods Orders expected -1.1% v. -1.1% prior 0900 hrs cst
Durables x-transportations expected -0.3% v. -0.3% prior 0900 hrs cst
Factory Orders expected -0.5% v. -0.1% prior 0900 hrs cst
Cap Goods Orders Nondefense Expenditures -0.5% prior 0900 hrs cst
Factory Orders x-transportations 0.0% prior 0900 hrs cst
Cap Goods Shipped Non defense x-air -0.7% prior 0900 hrs cst
3-month bill auction $45b
6-month bill auction $42b
SF Fed President Daly (non voter) speaks in New York 1600 hrs cst
 

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

11/01/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/31/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6082
2-Mo: 1.6136
3-Mo: 1.5974
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5194
1-Yr:   1.4338

ICE-SETTLED LIBOR 11/1/19:
1-Mo: 1.6316
3-Mo: 1.8389
6-Mo: 1.9024
1-Yr:   1.9253

Click here to download a pdf of this article, settles10.31.pdf
 
 

10/31/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/30/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6189
2-Mo: 1.6197
3-Mo: 1.5982
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5298
1-Yr:   1.4590

ICE-SETTLED LIBOR 10/31/19:
1-Mo: 1.7849
3-Mo: 1.9023
6-Mo: 1.9163
1-Yr:   1.9554

Click here to download a pdf of this article, settles10.30.pdf
 
 

10/30/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/29/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6484
2-Mo: 1.6420
3-Mo: 1.6171
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5468
1-Yr:   1.4872

ICE-SETTLED LIBOR 10/30/19:
1-Mo: 1.7814
3-Mo: 1.9091
6-Mo: 1.9195
1-Yr:   1.9798

Click here to download a pdf of this article, Settles10.29.pdf
 
 

10/29/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/28/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6586
2-Mo: 1.6556
3-Mo: 1.6334
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5584
1-Yr:   1.4880

ICE-SETTLED LIBOR 10/29/19:
1-Mo: 1.7859
3-Mo: 1.9271
6-Mo: 1.9299
1-Yr:   1.9888

Click here to download a pdf of this article, Settles10.29.pdf
 
 

10/28/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/25/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6819
2-Mo: 1.6724
3-Mo: 1.6437
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5597
1-Yr:   1.4879

ICE-SETTLED LIBOR 10/28/19:
1-Mo: 1.7996
3-Mo: 1.9355
6-Mo: 1.9399
1-Yr:   1.9953

Click here to download a pdf of this article, settles10.25.pdf
 
 

10/25/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/24/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7006
2-Mo: 1.6766
3-Mo: 1.6426
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5468
1-Yr:   1.4572

ICE-SETTLED LIBOR 10/25/19:
1-Mo: 1.80480
3-Mo: 1.92810
6-Mo: 1.93320
1-Yr:   1.95570

Click here to download a pdf of this article, settles10.25.pdf
 
 

10/24/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/23/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7143
2-Mo: 1.6864
3-Mo: 1.6509

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5513
1-Yr:   1.4531

ICE-SETTLED LIBOR 10/24/19:
1-Mo: 1.80425
3-Mo: 1.93563
6-Mo: 1.93200
1-Yr:   1.96088

Click here to download a pdf of this article, Settles10.23.pdf