Interest Rate Futures Settlements

30-Day Fed Funds Settlement

JUNE 2020 FED FUNDS FUTURES SETTLE @ 99.922

Fed Funds Futures for June 2020 have been settled to a final settlement of 99.922 implying a daily Effective Federal Funds Rate of 0.078 percent


One-Month SOFR Futures Settlement

JUNE 2020 ONE-MONTH SOFR FUTURES SETTLE @ 99.921

One-Month SOFR Futures for June 2020 have been settled to a final settlement of 99.921 implying a daily Secured Overnight Financing Rate of 0.079 percent


Three-Month SOFR Futures Settlement

MAR 2020 Three-Month SOFR Futures Settle @ 99.9607

Three-Month SOFR Futures for Mar 2020 have been settled to a final price of 99.9607, implying a daily Secured Overnight Financing Rate of 0.0393 percent per annum


MPC SONIA Futures Settlement

May MPC SONIA Futures Settle @ 99.9329

MPC SONIA Futures for May 2019 (June MPC meeting) have been settled to a final settlement of 99.9329, implying a daily Sterling Overnight Rate of 0.0671 percent


Quarterly IMM SONIA Futures Settlement

MAR 2020 IMM SONIA Futures Settle @ 99.9295

IMM SONIA Futures for Mar 2020 have been settled to a final price of 99.9295, implying a daily Overnight SONIA Rate of 0.0705 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