FIG Topics of Interest

 

11/14/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/13/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6187
2-Mo: 1.6152
3-Mo: 1.5957
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5444
1-Yr:   1.4825

ICE-SETTLED LIBOR 11/14/19:
1-Mo: 1.76525
3-Mo: 1.90410
6-Mo: 1.92160
1-Yr:   1.97710

Click here to download a pdf of this article, settles11.13.pdf
 
 

11/13/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/12/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6169
2-Mo: 1.6137
3-Mo: 1.5978
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5531
1-Yr:   1.4996

ICE-SETTLED LIBOR 11/13/19:
1-Mo: 1.76540
3-Mo: 1.90990
6-Mo: 1.92230
1-Yr:  1.98700

Click here to download a pdf of this article, Settles11.12.pdf
 
 

11/12/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/8/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6126
2-Mo: 1.6121
3-Mo: 1.5993
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5607
1-Yr:   1.5205

ICE-SETTLED LIBOR 11/11/19:
1-Mo: 1.76160
3-Mo: 1.90930
6-Mo: 1.92610
1-Yr:   2.00560

Click here to download a pdf of this article, settles11.8.pdf
 
 

11/08/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/7/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6081
2-Mo: 1.6111
3-Mo: 1.5995
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5621
1-Yr:   1.5242

ICE-SETTLED LIBOR 11/8/19:
1-Mo: 1.75900
3-Mo: 1.90060
6-Mo: 1.92300
1-Yr:   1.99980

Click here to download a pdf of this article, settles11.7.pdf
 
 

11/07/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/6/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6108
2-Mo: 1.6129
3-Mo: 1.6005
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5508
1-Yr:   1.4989

ICE-SETTLED LIBOR 11/7/19:
1-Mo: 1.75800
3-Mo: 1.90138
6-Mo: 1.92263
1-Yr:   1.98300

Click here to download a pdf of this article, settles11.6.pdf
 
 

11/06/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/5/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6085
2-Mo: 1.6108
3-Mo: 1.5976
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5487
1-Yr:  1.4878

ICE-SETTLED LIBOR 11/6/19:
1-Mo: 1.7550
3-Mo: 1.9043
6-Mo: 1.9239
1-Yr:   1.9766

Click here to download a pdf of this article, settles11.6.pdf
 
 

11/05/19

FUTURES IMPLIED 'SPOT' TERM RATES – 11/4/19 SETTLES

DERIVED FROM 1-MONTH SOFR FUTURES:
1-Mo: 1.6079
2-Mo: 1.6132
3-Mo: 1.5999
 

DERIVED FROM 3-MONTH SOFR FUTURES:
6-Mo: 1.5457
1-Yr:   1.4857

ICE-SETTLED LIBOR 11/5/19:
1-Mo: 1.7699
3-Mo: 1.8935
6-Mo: 1.9263
1-Yr:   1.9669

Click here to download a pdf of this article, settles11.4.pdf
 
 

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