FIG Topics of Interest

 

07/11/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 10 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4475
2-Mo: 2.1327
3-Mo: 2.0984
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.040
1-Yr:   1.861

ICE-SETTLED LIBOR:
1-Mo: 2.32500
3-Mo: 2.30330
6-Mo: 2.21260
1-Yr:   2.19320

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

07/10/19

FUTURES IMPLIED 'SPOT' TERM RATES – JULY 9 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4600
2-Mo: 2.2668
3-Mo: 2.2183
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.110
1-Yr:  1.940

ICE-SETTLED LIBOR:
1-Mo: 2.36910
3-Mo: 2.33950
6-Mo: 2.26230
1-Yr:   2.28570

Click here to download a pdf of this article, settles7.9.pdf
 
 

07/09/19

FUTURES IMPLIED 'SPOT' TERM RATES – JULY 8 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.391
2-Mo: 2.237
3-Mo: 2.186

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.101
1-Yr:   1.932

ICE-SETTLED LIBOR:
1-Mo: 2.3686
3-Mo: 2.3408
6-Mo: 2.2568

Click here to download a pdf of this article, settles7.8.pdf
 
 

07/08/19

FUTURES IMPLIED 'SPOT' TERM RATES – July 5 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.43000
2-Mo: 2.25973
3-Mo: 2.20217

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.103
1-Yr:   1.932

ICE-SETTLED LIBOR:
1-Mo: 2.37940
3-Mo: 2.33770
6-Mo: 2.25650
1-Yr:   2.26150

Click here to download a pdf of this article, settles7.5.pdf
 
 

07/05/19

FUTURES IMPLIED 'SPOT' TERM RATES - JULY 4 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.42250
2-Mo: 2.25099
3-Mo: 2.18455

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.037
1-Yr:   1.843

ICE-SETTLED LIBOR:
1-Mo: 2.36650
3-Mo: 2.31138
6-Mo: 2.20975
1-Yr:   2.19163

Click here to download a pdf of this article, settles 7.4.pdf
 
 

07/03/19

FUTURES IMPLIED 'SPOT' TERM RATES – JULY 2 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4175
2-Mo: 2.2378
3-Mo: 2.1694

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.047
1-Yr:   1.850

ICE-SETTLED LIBOR:
1-Mo: 2.36000
3-Mo: 2.28850
6-Mo: 2.20888
1-Yr:  2.18038

Click here to download a pdf of this article, settles7.2.pdf
 
 

07/02/19

FUTURES IMPLIED 'SPOT' TERM RATES - JULY 1 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.4025
2-Mo: 2.2367
3-Mo: 2.1774

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.067
1-Yr:   1.876

ICE-SETTLED LIBOR:
1-Mo: 2.37950
3-Mo: 2.31300
6-Mo: 2.22638
1-Yr:   2.20313

Click here to download a pdf of this article, settles7.1.pdf
 
 

06/28/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 27 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.40460
2-Mo: 2.26458
3-Mo: 2.18512


DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.037
1-Yr:  1.826

ICE-SETTLED LIBOR:
1-Mo: 2.39800
3-Mo: 2.31980
6-Mo: 2.20050
1-Yr:   2.17810

Click here to download a pdf of this article, settles6.27.pdf
 
 

06/27/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 26 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.43697
2-Mo: 2.29373
3-Mo: 2.21135

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.064
1-Yr:   1.850

ICE-SETTLED LIBOR:
1-Mo: 2.4023
3-Mo: 2.3188
6-Mo: 2.2133
1-Yr:  2.1846

Click here to download a pdf of this article, settles6.26.pdf
 
 

06/26/19

FUTURES IMPLIED 'SPOT' TERM RATES - JUNE 25 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.44047
2-Mo: 2.30017
3-Mo: 2.21617

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.025
1-Yr:   1.794

ICE-SETTLED LIBOR:
1-Mo: 2.40230
3-Mo: 2.32980
6-Mo: 2.19970
1-Yr:  2.18320

Click here to download a pdf of this article, settles6.25.pdf