Interest Rate Futures Settlements

30-Day Fed Funds Settlement

NOVEMBER 2019 FED FUNDS FUTURES SETTLE @ 98.447

Fed Funds Futures for November 2019 have been settled to a final settlement of 98.447 implying a daily Effective Federal Funds Rate of 1.553 percent


One-Month SOFR Futures Settlement

NOVEMBER 2019 ONE-MONTH SOFR FUTURES SETTLE @ 98.425

One-Month SOFR Futures for November 2019 have been settled to a final settlement of 98.425 implying a daily Secured Overnight Financing Rate of 1.575 percent


Three-Month SOFR Futures Settlement

JUNE 2019 THREE-MONTH SOFR FUTURES SETTLE @ 97.6718

Three-Month SOFR Futures for June 2019 (expiring Sep) have been settled to a final price of 97.6718, implying a daily Secured Overnight Financing Rate of 2.3282 percent per annum.


MPC SONIA Futures Settlement

SEPTEMBER 2019 MPC SONIA FUTURES SETTLE @ 99.2889

MPC SONIA Futures for September 2019 (Nov MPC meeting) have a final settlement of 99.2889, implying a daily Sterling Overnight Rate of 0.7111 percent.


Quarterly IMM SONIA Futures Settlement

JUNE 2019 IMM SONIA FUTURES SETTLE Settle @ 99.2900

IMM SONIA Futures for June 2019 (expiring Sep) have been settled to a final price of 99.2900, implying a daily Overnight SONIA Rate of 0.7100 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