FIG Topics of Interest

 

10/23/19

October 24

Durable Goods Orders expected -0.7% v. 0.2% prior 0730 hrs cst
Durables x-transportation expected -0.2% v. 0.5% prior 0730 hrs cst
Capital Goods Orders Nondefense Expenditures expected -0.1% v. -0.4% prior 0730 hrs cst
Capital Goods Shipments Nondefense X-Air -0.2% v. 0.3% prior 0730 hrs cst
Initial Jobless Claims (expected 215k v. 214k prior 0730 hrs cst
Continuing Claims expected 215k v. 214k prior 0730 hrs cst
Markit US Manufacturing PMI PMI expected 50.9 v. 51.1 prior 0845 hrs cst
Markit US Composite PMI expected 51.0 v. 50.9 0845 hrs cst
New Home Sales expected 702k v. 713k prior 0900 hrs cst
New Home Sales m/m expected -1.6% v. 7.1% prior 0900 hrs cst
4-week bill auction ($55b)
8-week bill auction ($40b)
7-year note auction ($32b)
 

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

10/23/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/22/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7222
2-Mo: 1.6862
3-Mo: 1.6464

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5454
1-Yr:   1.4494

ICE-SETTLED LIBOR 10/23/19:
1-Mo: 1.82270
3-Mo: 1.93960
6-Mo: 1.91400
1-Yr:   1.94270

Click here to download a pdf of this article, Settles 10.22.pdf
 
 

10/22/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/21/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7262
2-Mo: 1.6880
3-Mo: 1.6546

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5618
1-Yr:   1.4752

ICE-SETTLED LIBOR 10/22/19:
1-Mo: 1.82175
3-Mo: 1.93600
6-Mo: 1.93250
1-Yr:   1.96725

Click here to download a pdf of this article, Settles10.21.pdf
 
 

10/21/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/18/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7262
2-Mo: 1.6880
3-Mo: 1.6546

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5618
1-Yr:   1.4752

ICE-SETTLED LIBOR 10/21/19:
1-Mo: 1.8230
3-Mo: 1.9340
6-Mo: 1.9343
1-Yr:   1.9606

Click here to download a pdf of this article, settles10.18.pdf
 
 

10/18/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/17/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7589
2-Mo: 1.7161
3-Mo: 1.6840

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5916
1-Yr:   1.5051

ICE-SETTLED LIBOR 10/18/19:
1-Mo: 1.85025
3-Mo: 1.95325
6-Mo: 1.95175
1-Yr:   1.98725

Click here to download a pdf of this article, settles10.17.pdf
 
 

10/17/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/16/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7699
2-Mo: 1.7191
3-Mo: 1.6854

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5900
1-Yr:   1.4955

ICE-SETTLED LIBOR 10/17/19:
1-Mo: 1.84683
3-Mo: 1.96588
6-Mo: 1.97450
1-Yr:   1.99313

Click here to download a pdf of this article, settles10.16.pdf
 
 

10/16/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/15/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7846
2-Mo: 1.7324
3-Mo: 1.6987

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.6072
1-Yr:  1.5146

ICE-SETTLED LIBOR 10/16/19:
1-Mo: 1.87750
3-Mo: 2.00325
6-Mo: 1.98588
1-Yr:   1.99225

Click here to download a pdf of this article, settles10.15.pdf
 
 

10/10/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/9/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8041
2-Mo: 1.7302
3-Mo: 1.6821

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5463
1-Yr:  1.4013

ICE-SETTLED LIBOR 10/10/19:
1-Mo: 1.9213
3-Mo: 1.9861
6-Mo: 1.9355
1-Yr:   1.8960

Click here to download a pdf of this article, sofr settles 10.9.pdf
 
 

10/09/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/8/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8078
2-Mo: 1.7331
3-Mo: 1.6827

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5331
1-Yr:   1.3741

ICE-SETTLED LIBOR 10/9/19:
1-Mo: 1.9274
3-Mo: 1.9843
6-Mo: 1.9428
1-Yr:   1.8819

Click here to download a pdf of this article, settles10.8.pdf
 
 

10/08/19

MBA Mortgage Applications 8.1% actual 0600 hrs cst
Jolt Job Openings expected 7250 v. 7217 prior 0900 hrs cst
Wholesale Trade Sales m/m expected 0.3% prior 0900 hrs cst
Wholesale Inventories m/m 0.4% actual v. 0.4% prior 0900 hrs cst
Powell takes part in a Fed listening event 0930 hrs cst
FOMC Minutes 1300 hrs cst

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