Interest Rate Futures Settlements

30-Day Fed Funds Settlement

OCT 2020 FED FUNDS FUTURES SETTLE @ 99.910

Fed Funds Futures for Oct 2020 have been settled to a final settlement of 99.910 implying a daily Effective Federal Funds Rate of 0.090 percent


One-Month SOFR Futures Settlement

OCT 2020 ONE-MONTH SOFR FUTURES SETTLE @ 99.912

One-Month SOFR Futures for Oct 2020 have been settled to a final settlement of 99.912 implying a daily Secured Overnight Financing Rate of 0.088 percent


Three-Month SOFR Futures Settlement

JUN 2020 Three-Month SOFR Futures Settle @ 99.9067

Three-Month SOFR Futures for Jun 2020 have been settled to a final price of 99.9067, implying a daily Secured Overnight Financing Rate of 0.0933 percent per annum


MPC SONIA Futures Settlement

Sep MPC SONIA Futures Settle @ 99.9462

MPC SONIA Futures for Sep 2020 (Nov MPC meeting) have been settled to a final settlement of 99.9462, implying a daily Sterling Overnight Rate of 0.0538 percent


Quarterly IMM SONIA Futures Settlement

JUN 2020 IMM SONIA Futures Settle @ 99.9415

IMM SONIA Futures for Jun 2020 have been settled to a final price of 99.9415, implying a daily Overnight SONIA Rate of 0.0585 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