FIG Topics of Interest

 

11/04/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/1/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6167
2-Mo: 1.6230
3-Mo: 1.6092
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5456
1-Yr:   1.4717

ICE-SETTLED LIBOR 11/4/19:
1-Mo: 1.7710
3-Mo: 1.9083
6-Mo: 1.9246
1-Yr:   1.9600

Click here to download a pdf of this article, settles11.1.pdf
 
 

11/01/19

November 4
Durable Goods Orders expected -1.1% v. -1.1% prior 0900 hrs cst
Durables x-transportations expected -0.3% v. -0.3% prior 0900 hrs cst
Factory Orders expected -0.5% v. -0.1% prior 0900 hrs cst
Cap Goods Orders Nondefense Expenditures -0.5% prior 0900 hrs cst
Factory Orders x-transportations 0.0% prior 0900 hrs cst
Cap Goods Shipped Non defense x-air -0.7% prior 0900 hrs cst
3-month bill auction $45b
6-month bill auction $42b
SF Fed President Daly (non voter) speaks in New York 1600 hrs cst
 

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

11/01/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/31/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6082
2-Mo: 1.6136
3-Mo: 1.5974
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5194
1-Yr:   1.4338

ICE-SETTLED LIBOR 11/1/19:
1-Mo: 1.6316
3-Mo: 1.8389
6-Mo: 1.9024
1-Yr:   1.9253

Click here to download a pdf of this article, settles10.31.pdf
 
 

10/31/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/30/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6189
2-Mo: 1.6197
3-Mo: 1.5982
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5298
1-Yr:   1.4590

ICE-SETTLED LIBOR 10/31/19:
1-Mo: 1.7849
3-Mo: 1.9023
6-Mo: 1.9163
1-Yr:   1.9554

Click here to download a pdf of this article, settles10.30.pdf
 
 

10/30/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/29/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6484
2-Mo: 1.6420
3-Mo: 1.6171
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5468
1-Yr:   1.4872

ICE-SETTLED LIBOR 10/30/19:
1-Mo: 1.7814
3-Mo: 1.9091
6-Mo: 1.9195
1-Yr:   1.9798

Click here to download a pdf of this article, Settles10.29.pdf
 
 

10/29/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/28/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6586
2-Mo: 1.6556
3-Mo: 1.6334
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5584
1-Yr:   1.4880

ICE-SETTLED LIBOR 10/29/19:
1-Mo: 1.7859
3-Mo: 1.9271
6-Mo: 1.9299
1-Yr:   1.9888

Click here to download a pdf of this article, Settles10.29.pdf
 
 

10/28/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/25/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6819
2-Mo: 1.6724
3-Mo: 1.6437
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5597
1-Yr:   1.4879

ICE-SETTLED LIBOR 10/28/19:
1-Mo: 1.7996
3-Mo: 1.9355
6-Mo: 1.9399
1-Yr:   1.9953

Click here to download a pdf of this article, settles10.25.pdf
 
 

10/25/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/24/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7006
2-Mo: 1.6766
3-Mo: 1.6426
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5468
1-Yr:   1.4572

ICE-SETTLED LIBOR 10/25/19:
1-Mo: 1.80480
3-Mo: 1.92810
6-Mo: 1.93320
1-Yr:   1.95570

Click here to download a pdf of this article, settles10.25.pdf
 
 

10/24/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/23/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7143
2-Mo: 1.6864
3-Mo: 1.6509

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5513
1-Yr:   1.4531

ICE-SETTLED LIBOR 10/24/19:
1-Mo: 1.80425
3-Mo: 1.93563
6-Mo: 1.93200
1-Yr:   1.96088

Click here to download a pdf of this article, Settles10.23.pdf
 
 

10/23/19

October 24

Durable Goods Orders expected -0.7% v. 0.2% prior 0730 hrs cst
Durables x-transportation expected -0.2% v. 0.5% prior 0730 hrs cst
Capital Goods Orders Nondefense Expenditures expected -0.1% v. -0.4% prior 0730 hrs cst
Capital Goods Shipments Nondefense X-Air -0.2% v. 0.3% prior 0730 hrs cst
Initial Jobless Claims (expected 215k v. 214k prior 0730 hrs cst
Continuing Claims expected 215k v. 214k prior 0730 hrs cst
Markit US Manufacturing PMI PMI expected 50.9 v. 51.1 prior 0845 hrs cst
Markit US Composite PMI expected 51.0 v. 50.9 0845 hrs cst
New Home Sales expected 702k v. 713k prior 0900 hrs cst
New Home Sales m/m expected -1.6% v. 7.1% prior 0900 hrs cst
4-week bill auction ($55b)
8-week bill auction ($40b)
7-year note auction ($32b)
 

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