FIG Topics of Interest

 

09/20/19

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

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1796
2-Mo: 2.1256
3-Mo: 1.9790

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8259
1-Yr:   1.6615

ICE-SETTLED LIBOR 9/20/19:
1-Mo: 2.0365
3-Mo: 2.1346
6-Mo: 2.0704
1-Yr:   2.0650

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

09/19/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/18/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2747
2-Mo: 2.1921
3-Mo: 2.0012

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8427
1-Yr:   1.6615

ICE-SETTLED LIBOR 9/19/19:
1-Mo: 2.0459
3-Mo: 2.1589
6-Mo: 2.0840
1-Yr:   2.0741

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

09/18/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/17/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.3128
2-Mo: 2.2003
3-Mo: 2.0048

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8316
1-Yr:   1.6368

ICE-SETTLED LIBOR 9/18/19:
1-Mo: 2.0443
3-Mo: 2.1559
6-Mo: 2.0815
1-Yr:   2.0645

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

09/17/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/16/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1622
2-Mo: 2.1124
3-Mo: 1.9853

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8273
1-Yr:   1.6542

ICE-SETTLED LIBOR 9/17/19:
1-Mo: 2.0570
3-Mo: 2.1641
6-Mo: 2.0853
1-Yr:  2.0654

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

09/16/19

FUTURES IMPLIED 'SPOT' TERM RATES – 9/13/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0979
2-Mo: 2.0669
3-Mo: 1.9498

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8185
1-Yr:   1.6651

ICE-SETTLED LIBOR 9/16/19:
1-Mo: 2.04088
3-Mo: 2.14513
6-Mo: 2.07800
1-Yr:   2.06963

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

09/13/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 12, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0634
2-Mo: 2.0430
3-Mo: 1.9357

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7969
1-Yr:   1.6415

ICE-SETTLED LIBOR 9/13/2019:
1-Mo: 2.0248
3-Mo: 2.1394
6-Mo: 2.0703
1-Yr:   2.0491

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

09/12/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 11, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0683
2-Mo: 2.0479
3-Mo: 1.9277

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7731
1-Yr:   1.5957

ICE-SETTLED LIBOR:
1-Mo: 2.0275
3-Mo: 2.1185
6-Mo: 2.0473
1-Yr:   2.0056

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

09/11/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 10, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0633
2-Mo: 2.0444
3-Mo: 1.9182

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7651
1-Yr:   1.5871

ICE-SETTLED LIBOR:
1-Mo: 2.0359
3-Mo: 2.1273
6-Mo: 2.0529
1-Yr:   2.0086

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

09/10/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 9, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0590
2-Mo: 2.0442
3-Mo: 1.9177
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7558
1-Yr:   1.5552

ICE-SETTLED LIBOR:
1-Mo: 2.0386
3-Mo: 2.1316
6-Mo: 2.0351
1-Yr:   1.9704

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

09/04/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 3, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0402
2-Mo: 1.9492
3-Mo: 1.8703


 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7078
1-Yr:   1.4777

ICE-SETTLED LIBOR:
1-Mo: 2.0572
3-Mo: 2.1123
6-Mo: 1.9872
1-Yr:   1.8968

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