FIG Topics of Interest

 

09/03/19

FUTURES IMPLIED 'SPOT' TERM RATES – September 2, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0638
2-Mo: 2.0561
3-Mo: 1.9098

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7384
1-Yr:   1.4904

ICE-SETTLED LIBOR:
1-Mo: 2.06688
3-Mo: 2.12663
6-Mo: 2.01238
1-Yr:   1.93638

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

08/30/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 29, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0815
2-Mo: 1.9984
3-Mo: 1.9209

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7727
1-Yr:   1.5655

ICE-SETTLED LIBOR:
1-Mo: 2.0890
3-Mo: 2.1376
6-Mo: 2.0365
1-Yr:   1.9740

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

08/29/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 28, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0804
2-Mo: 1.9957
3-Mo: 1.9162

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7524
1-Yr:   1.5228

ICE-SETTLED LIBOR:
1-Mo: 2.1003
3-Mo: 2.1318
6-Mo: 2.0314
1-Yr:   1.9614

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

08/28/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 27, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0795
2-Mo: 1.9978
3-Mo: 1.9130


 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7512
1-Yr:   1.5224

ICE-SETTLED LIBOR:
1-Mo: 2.1120
3-Mo: 2.1241
6-Mo: 2.0351
1-Yr:   1.9494

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

08/27/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 26, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0814
2-Mo: 2.0003
3-Mo: 1.9195

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7571
1-Yr:   1.5386

ICE-SETTLED LIBOR:
1-Mo: 2.1158
3-Mo: 2.1173
6-Mo: 2.0375
1-Yr:  1.9493

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

08/26/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 23, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.0770
2-Mo: 1.9984
3-Mo: 1.9125

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7370
1-Yr:   1.5157

ICE-SETTLED LIBOR:
1-Mo: 2.13950
3-Mo: 2.14440
6-Mo: 2.08010
1-Yr:   2.02850

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

08/21/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 20, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1089
2-Mo: 2.0306
3-Mo: 1.9291

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7453
1-Yr:   1.5319

ICE-SETTLED LIBOR:
1-Mo: 2.16663
3-Mo: 2.14763
6-Mo: 2.02538
1-Yr:  1.95425

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

08/20/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 19, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1153
2-Mo: 2.0323
3-Mo: 1.9281

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7510
1-Yr:   1.5375

ICE-SETTLED LIBOR:
1-Mo: 2.1700
3-Mo: 2.1495
6-Mo: 2.0236
1-Yr:   1.9485

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

08/19/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 16, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1199
2-Mo: 2.0421
3-Mo: 1.9357

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7483
1-Yr:   1.5220

ICE-SETTLED LIBOR:
1-Mo: 2.1686
3-Mo: 2.1515
6-Mo: 2.0291
1-Yr:   1.9533

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

08/16/19

3-month bill auction ($42b)
6-month bill auction ($42b)

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