Interest Rate Futures Settlements

30-Day Fed Funds Settlement

MARCH 2020 FED FUNDS FUTURES SETTLE @ 99.348

Fed Funds Futures for March 2020 have been settled to a final settlement of 99.348 implying a daily Effective Federal Funds Rate of 0.652 percent


One-Month SOFR Futures Settlement

MARCH 2020 ONE-MONTH SOFR FUTURES SETTLE @ 99.371

One-Month SOFR Futures for March 2020 have been settled to a final settlement of 99.371 implying a daily Secured Overnight Financing Rate of 0.629percent


Three-Month SOFR Futures Settlement

DECEMBER 2019 Three-Month SOFR Futures Settle @ 98.5196

Three-Month SOFR Futures for December 2019 have been settled to a final price of 98.5196, implying a daily Secured Overnight Financing Rate of 1.4804 percent per annum


MPC SONIA Futures Settlement

JANUARY 2020 MPC SONIA FUTURES SETTLE @ 99.4382

MPC SONIA Futures for January 2019 (Mar MPC meeting) have been settled to a final settlement of 99.4382, implying a daily Sterling Overnight Rate of0.5618 percent


Quarterly IMM SONIA Futures Settlement

DECEMBER 2019 IMM SONIA Futures Settle @ 99.3274

IMM SONIA Futures for December 2019 have been settled to a final price of 99.3274, implying a daily Overnight SONIA Rate of 0.6726 percent per annum

For more information, please contact:

Jonathan Kronstein
+1 312 930 3472

David Reif
+1 312 648 3839

Frederick Sturm
+1 312 930 1282