FIG Topics of Interest

 

10/23/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/22/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7222
2-Mo: 1.6862
3-Mo: 1.6464

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5454
1-Yr:   1.4494

ICE-SETTLED LIBOR 10/23/19:
1-Mo: 1.82270
3-Mo: 1.93960
6-Mo: 1.91400
1-Yr:   1.94270

Click here to download a pdf of this article, Settles 10.22.pdf
 
 

10/22/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/21/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7262
2-Mo: 1.6880
3-Mo: 1.6546

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5618
1-Yr:   1.4752

ICE-SETTLED LIBOR 10/22/19:
1-Mo: 1.82175
3-Mo: 1.93600
6-Mo: 1.93250
1-Yr:   1.96725

Click here to download a pdf of this article, Settles10.21.pdf
 
 

10/21/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/18/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7262
2-Mo: 1.6880
3-Mo: 1.6546

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5618
1-Yr:   1.4752

ICE-SETTLED LIBOR 10/21/19:
1-Mo: 1.8230
3-Mo: 1.9340
6-Mo: 1.9343
1-Yr:   1.9606

Click here to download a pdf of this article, settles10.18.pdf
 
 

10/18/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/17/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7589
2-Mo: 1.7161
3-Mo: 1.6840

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5916
1-Yr:   1.5051

ICE-SETTLED LIBOR 10/18/19:
1-Mo: 1.85025
3-Mo: 1.95325
6-Mo: 1.95175
1-Yr:   1.98725

Click here to download a pdf of this article, settles10.17.pdf
 
 

10/17/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/16/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7699
2-Mo: 1.7191
3-Mo: 1.6854

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5900
1-Yr:   1.4955

ICE-SETTLED LIBOR 10/17/19:
1-Mo: 1.84683
3-Mo: 1.96588
6-Mo: 1.97450
1-Yr:   1.99313

Click here to download a pdf of this article, settles10.16.pdf
 
 

10/16/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/15/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.7846
2-Mo: 1.7324
3-Mo: 1.6987

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.6072
1-Yr:  1.5146

ICE-SETTLED LIBOR 10/16/19:
1-Mo: 1.87750
3-Mo: 2.00325
6-Mo: 1.98588
1-Yr:   1.99225

Click here to download a pdf of this article, settles10.15.pdf
 
 

10/10/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/9/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8041
2-Mo: 1.7302
3-Mo: 1.6821

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5463
1-Yr:  1.4013

ICE-SETTLED LIBOR 10/10/19:
1-Mo: 1.9213
3-Mo: 1.9861
6-Mo: 1.9355
1-Yr:   1.8960

Click here to download a pdf of this article, sofr settles 10.9.pdf
 
 

10/09/19

FUTURES IMPLIED 'SPOT' TERM RATES – 10/8/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.8078
2-Mo: 1.7331
3-Mo: 1.6827

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5331
1-Yr:   1.3741

ICE-SETTLED LIBOR 10/9/19:
1-Mo: 1.9274
3-Mo: 1.9843
6-Mo: 1.9428
1-Yr:   1.8819

Click here to download a pdf of this article, settles10.8.pdf
 
 

10/08/19

MBA Mortgage Applications 8.1% actual 0600 hrs cst
Jolt Job Openings expected 7250 v. 7217 prior 0900 hrs cst
Wholesale Trade Sales m/m expected 0.3% prior 0900 hrs cst
Wholesale Inventories m/m 0.4% actual v. 0.4% prior 0900 hrs cst
Powell takes part in a Fed listening event 0930 hrs cst
FOMC Minutes 1300 hrs cst

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

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