FIG Topics of Interest

 

07/26/19

FUTURES IMPLIED 'SPOT' TERM RATES – JULY 25 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2263
2-Mo: 2.1805
3-Mo: 2.1283
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.0143
1-Yr:  1.8561

ICE-SETTLED LIBOR:
1-Mo: 2.2370
3-Mo: 2.2657
6-Mo: 2.2048
1-Yr:  2.1966

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

07/25/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 24 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2240
2-Mo: 2.1706
3-Mo: 2.1132
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.9898
1-Yr:    1.8188

ICE-SETTLED LIBOR:
1-Mo: 2.2411
3-Mo: 2.2557
6-Mo: 2.2175
1-Yr:  2.1788

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

07/24/19

FUTURES IMPLIED 'SPOT' TERM RATES – JULY 23 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2316
2-Mo: 2.1768
3-Mo: 2.1215
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.9972
1-Yr:   1.8296

ICE-SETTLED LIBOR:
1-Mo: 2.1617
3-Mo: 2.2666
6-Mo: 2.1831
1-Yr:   2.1795

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

07/23/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 22 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2427
2-Mo: 2.1867
3-Mo: 2.1329
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.0012
1-Yr:   1.827

ICE-SETTLED LIBOR:
1-Mo: 2.2660
3-Mo: 2.2755
6-Mo: 2.1848
1-Yr:   2.1912

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

07/22/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2423
2-Mo: 2.1791
3-Mo: 2.1252
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.020
1-Yr:  1.826

ICE-SETTLED LIBOR:
1-Mo: 2.2691
3-Mo: 2.2827
6-Mo: 2.1807
1-Yr:  2.1883

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

07/19/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 18 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2427
2-Mo: 2.1574
3-Mo: 2.0850
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.963
1-Yr:   1.771

ICE-SETTLED LIBOR:
1-Mo: 2.26110
3-Mo: 2.25930
6-Mo: 2.14420
1-Yr:  2.15770

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

07/18/19

FUTURES IMPLIED 'SPOT' TERM RATES - JULY 17 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2628
2-Mo: 2.1755
3-Mo: 2.1158
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.033
1-Yr:  1.852

ICE-SETTLED LIBOR:
1-Mo: 2.2715
3-Mo: 2.2776
6-Mo: 2.1742
1-Yr:   2.1921

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

07/17/19

FUTURES IMPLIED 'SPOT' TERM RATES - JULY 16 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2605
2-Mo: 2.1752
3-Mo: 2.1255
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.049
1-Yr:  1.872

ICE-SETTLED LIBOR:
1-Mo: 2.2978
3-Mo: 2.3025
6-Mo: 2.1987
1-Yr:   2.2170

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

07/16/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 15 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2647
2-Mo: 2.1752
3-Mo: 2.1221

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.033
1-Yr:  1.855

ICE-SETTLED LIBOR:
1-Mo: 2.30030
3-Mo: 2.29960
6-Mo: 2.20700
1-Yr:  2.21080

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

07/12/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 11 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2925
2-Mo: 2.210
3-Mo: 2.157


DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.056
1-Yr:   1.881


ICE-SETTLED LIBOR:
1-Mo: 2.3320
3-Mo: 2.3222
6-Mo: 2.2292
1-Yr:   2.2311

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