Interest Rate Futures Settlements

30-Day Fed Funds Settlement

JUNE 2019 FED FUNDS FUTURES SETTLE @ 97.622

Fed Funds Futures for April 2019 have been settled to a final settlement of 97.622, implying a daily Effective Federal Funds Rate of 2.378 percent.


One-Month SOFR Futures Settlement

JUNE 2019 ONE-MONTH SOFR FUTURES SETTLE @97.598

One-Month SOFR Futures for June 2019 have been settled to a final settlement of 97.598, implying a daily Secured Overnight Financing Rate of 2.402 percent.


Three-Month SOFR Futures Settlement

MARCH 2019 THREE-MONTH SOFR FUTURES SETTLE @ 97.5547

Three-Month SOFR Futures for March 2019 (expiring June) have been settled to a final price of 97.5547, implying a daily Secured Overnight Financing Rate of 2.4453 percent per annum.


MPC SONIA Futures Settlement

MAY 2019 MPC SONIA FUTURES SETTLE @ 99.2907

MPC SONIA Futures for May 2019 (June MPC meeting) have been settled to a final settlement of 99.2907, implying a daily Sterling Overnight Rate of 0.7093 percent.


Quarterly IMM SONIA Futures Settlement

MARCH 2019 IMM SONIA FUTURES SETTLE Settle @ 99.2912

IMM SONIA Futures for March 2019 (expiring June) have been settled to a final price of 99.2912, implying a daily Overnight SONIA Rate of 0.7088 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