FIG Topics of Interest

 

08/16/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 15, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1105
2-Mo: 2.0300
3-Mo: 1.9233

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7356
1-Yr:   1.5164

ICE-SETTLED LIBOR:
1-Mo: 2.1721
3-Mo: 2.1359
6-Mo: 2.0168
1-Yr:   1.9450

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

08/15/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 14, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1169
2-Mo: 2.0372
3-Mo: 1.9315

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7580
1-Yr:   1.5392

ICE-SETTLED LIBOR:
1-Mo: 2.1820
3-Mo: 2.1238
6-Mo: 2.0140
1-Yr:   1.9325

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

08/14/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 13, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1390
2-Mo: 2.0645
3-Mo: 1.9629

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8066
1-Yr:   1.6023

ICE-SETTLED LIBOR:
1-Mo: 2.1974
3-Mo: 2.1684
6-Mo: 2.0799
1-Yr:   2.0290

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

08/13/19

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

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1389
2-Mo: 2.0608
3-Mo: 1.9511

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7712
1-Yr:   1.5579

ICE-SETTLED LIBOR:
1-Mo: 2.1951
3-Mo: 2.1581
6-Mo: 2.0340
1-Yr:   1.9701

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

08/09/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 8, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1416
2-Mo: 2.0783
3-Mo: 1.9803

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8082
1-Yr:   1.6000

ICE-SETTLED LIBOR:
1-Mo: 2.1943
3-Mo: 2.1756
6-Mo: 2.0520
1-Yr:  1.9879

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

08/08/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 7, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1406
2-Mo: 2.0762
3-Mo: 1.9705

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.7806
1-Yr:   1.5708

ICE-SETTLED LIBOR:
1-Mo: 2.2009
3-Mo: 2.1810
6-Mo: 2.0503
1-Yr:  1.9930

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

08/07/19

FUTURES IMPLIED 'SPOT' TERM RATES – AUGUST 6, SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1574
2-Mo: 2.0919
3-Mo: 1.9942

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8249
1-Yr:   1.5970

ICE-SETTLED LIBOR:
1-Mo: 2.2113
3-Mo: 2.1845
6-Mo: 2.0467
1-Yr:   1.9770

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

08/05/19

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

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1747
2-Mo: 2.1131
3-Mo: 2.0216

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.8807
1-Yr:   .6834

ICE-SETTLED LIBOR:
1-Mo: 2.2230
3-Mo: 2.2090
6-Mo: 2.0859
1-Yr:   2.0368

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

08/02/19

FUTURES IMPLIED 'SPOT' TERM RATES – August 1 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.1976
2-Mo: 2.1517
3-Mo: 2.0640

 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.9222
1-Yr:   1.7441

ICE-SETTLED LIBOR:
1-Mo: 2.2285
3-Mo: 2.2393
6-Mo: 2.1330
1-Yr:   2.1159

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

08/01/19

FUTURES IMPLIED 'SPOT' TERM RATES - JULY 31 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 2.2082
2-Mo: 2.1890
3-Mo: 2.1399
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 2.0454
1-Yr:   1.9109

ICE-SETTLED LIBOR:
1-Mo: 2.2441
3-Mo: 2.2868
6-Mo: 2.2269
1-Yr:   2.2385

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