FIG Topics of Interest

 

10/08/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/7/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8200
2-Mo: 1.7480
3-Mo: 1.6990

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5496
1-Yr:   1.3888

ICE-SETTLED LIBOR 10/8/19:
1-Mo: 1.9388
3-Mo: 2.0095
6-Mo: 1.9634
1-Yr:   1.8885

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

10/07/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/4/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8201
2-Mo: 1.7480
3-Mo: 1.7017


 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5487
1-Yr:   1.3739

ICE-SETTLED LIBOR 10/7/19:
1-Mo: 1.94025
3-Mo: 2.01200
6-Mo: 1.96038
1-Yr:   1.86775

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

10/04/19

Consumer Credit $15.000b v. $23.294b 1400 hrs cst.
Minneapolis Fed Presient Kashkari (alternate voter) discusses Fed's work on the Native American reservations 0920 hrs cst
3-month bill auction ($45b)
6-month bill auction ($42b)

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

10/04/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/3/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8821
2-Mo: 1.8696
3-Mo: 1.7474

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5852
1-Yr:   1.3787

ICE-SETTLED LIBOR 10/4/19:
1-Mo: 1.9780
3-Mo: 2.0270
6-Mo: 1.9506
1-Yr:   1.8531

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

10/03/19

The stock market made it through September unscathed with a +1.72% advance, shaking off the fact that September is the worst month seasonally with an average monthly decline of -0.46% since 1950.

The stock market has now made it into the most favorable 4-month seasonal stretch of the year. Since 1950, the S&P 500 index has shown average monthly increases of +0.79% in October +1.57% in November (the best month of the year), +1.46% in December, and +1.02% in January.

The bad news, however, is that we are still in the 4-month (Aug-Nov) stretch of the year that has seen the largest monthly meltdowns. In the past six decades there have been eight times when the S&P 500 has shown a monthly decline of more than 10%. Six of those eight plunges occurred during the dangerous period of August through November. The worst months, with two 10%-plus plunges, were September (in 1974 and 2002) and October (in 1987 and 2008). The two other bad months, with one 10%-plus plunge, were in August (1998) and November (1973).

More recently, the S&P 500 index in Dec 2018 narrowly averted a -10% slide with a monthly decline of -9.18%. The U.S. stock market is arguably vulnerable to a decline due to recession fears and the fact that valuations are a bit high. The forward P/E for the S&P 500 is currently at 17.9, which is above the 5-year average of 17.7, the 10-year average of 16.0, and the 30- year average of 17.5. In addition, the S&P 500 index has been in a bull market for the past nine months without a major downward correction. The markets are also nervous about the 4th quarter after last year's steep -20.2% downward correction inQ4-2018. In the big picture, the S&P 500 has been in a bull market for the past decade with only two corrections of more than 20%, i.e., -21% in 2011 and -20.2% in 2018.

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

10/01/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/30/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8897
2-Mo: 1.8502
3-Mo: 1.8181

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7097
1-Yr:   1.5809

ICE-SETTLED LIBOR 10/1/19:
1-Mo: 2.01088
3-Mo: 2.08863
6-Mo: 2.05650
1-Yr:  2.03550

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

09/30/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/27/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.9010
2-Mo: 1.8560
3-Mo: 1.8250


 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7087
1-Yr:   1.5762

ICE-SETTLED LIBOR 9/30/19:
1-Mo: 2.0156
3-Mo: 2.0851
6-Mo: 2.0556
1-Yr:   2.0321

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

09/25/19

From Ronald Reagan on, each president has been threatened one way or another with impeachment.

https://en.wikipedia.org/wiki/Impeachment_in_the_United_States#History_of_federal_constitutional_impeachment

The House of Representatives has now initiated impeachment proceedings 63 times since 1789

The delegates to the 1787 Constitutional Convention chose to include an impeachment procedure in Article II, Section 4 of the Constitution which could be applied to any government official; they explicitly mentioned the President to ensure there would be no ambiguity. Opinions differed, however, as to the reasons Congress should be able to initiate an impeachment. Initial drafts listed only treason and bribery, but George Mason favored impeachment for "maladministration" (incompetence). James Madison argued that impeachment should only be for criminal behavior, arguing that a maladministration standard would effectively mean that the President would serve at the pleasure of the Senate.[28] Thus the delegates adopted a compromise version allowing impeachment for "treason, bribery and other high crimes and misdemeanors"

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

09/24/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/23/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1819
2-Mo: 2.0952
3-Mo: 1.9285

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7759
1-Yr:   1.6103

ICE-SETTLED LIBOR 9/24/19:
1-Mo: 2.04588
3-Mo: 2.11300
6-Mo: 2.06300
1-Yr:  2.02925

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

09/23/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/20/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1513
2-Mo: 2.0760
3-Mo: 1.9176

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7835
1-Yr:   1.6154

ICE-SETTLED LIBOR 9/23/19:
1-Mo: 2.0184
3-Mo: 2.1063
6-Mo: 2.0585
1-Yr:   2.0334

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