FIG Topics of Interest

 

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
 
 

11/26/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/25/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6284
2-Mo: 1.6285
3-Mo: 1.6124
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5772
1-Yr:   1.4994

ICE-SETTLED LIBOR 11/26/19:
1-Mo: 1.70160
3-Mo: 1.90860
6-Mo: 1.91480
1-Yr:   1.94160

Click here to download a pdf of this article, settles11.25.pdf
 
 

11/25/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/22/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6407
2-Mo: 1.6330
3-Mo: 1.6128
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5695
1-Yr:   1.5050

ICE-SETTLED LIBOR 11/25/19:
1-Mo: 1.69950
3-Mo: 1.91860
6-Mo: 1.91910
1-Yr:   1.94180

Click here to download a pdf of this article, Settles 11.22.pdf
 
 

11/22/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/21/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6413
2-Mo: 1.6363
3-Mo: 1.6159
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5630
1-Yr:   1.4743

ICE-SETTLED LIBOR 11/22/19:
1-Mo: 1.70280
3-Mo: 1.91730
6-Mo: 1.90730
1-Yr:   1.91490

Click here to download a pdf of this article, Settles11.21.pdf
 
 

11/20/19

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

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6196
2-Mo: 1.6147
3-Mo: 1.5936
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5375
1-Yr:   1.4530

ICE-SETTLED LIBOR 11/20/19:
1-Mo: 1.71560
3-Mo: 1.89880
6-Mo: 1.89110
1-Yr:   1.90930

Click here to download a pdf of this article, Settles11.19.pdf