Interest Rate Futures Settlements

30-Day Fed Funds Settlement

SEPTEMBER 2019 FED FUNDS FUTURES SETTLE @ 97.957

Fed Funds Futures for September 2019 have been settled to a final settlement of 97.957, implying a daily Effective Federal Funds Rate of 2.043 percent


One-Month SOFR Futures Settlement

SEPTEMBER 2019 ONE-MONTH SOFR FUTURES SETTLE @97.806

One-Month SOFR Futures for September 2019 have been settled to a final settlement of 97.806, implying a daily Secured Overnight Financing Rate of 2.194 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

AUGUST 2019 MPC SONIA FUTURES SETTLE @ 99.2897

MPC SONIA Futures for August 2019 (Sep MPC meeting) have been settled to a final settlement of 99.2897, implying a daily Sterling Overnight Rate of 0.7103 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