Interest Rate Futures Settlements

30-Day Fed Funds Settlement

FEB 2021 FED FUNDS FUTURES SETTLE @ 99.924

Fed Funds Futures for Feb 2021 have been settled to a final settlement of 99.924 implying a daily Effective Federal Funds Rate of 0.076 percent


One-Month SOFR Futures Settlement

FEB 2021 ONE-MONTH SOFR FUTURES SETTLE @ 99.963

One-Month SOFR Futures for Feb 2021 have been settled to a final settlement of 99.963 implying a daily Secured Overnight Financing Rate of 0.037 percent


Three-Month SOFR Futures Settlement

Sep 2020 Three-Month SOFR Futures Settle @ 99.9150

Three-Month SOFR Futures for Sep 2020 have been settled to a final price of 99.9150, implying a daily Secured Overnight Financing Rate of 0.0850 percent per annum


MPC SONIA Futures Settlement

Dec MPC SONIA Futures Settle @ 99.9517

MPC SONIA Futures for Dec 2020 (Feb MPC meeting) have been settled to a final settlement of 99.9517, implying a daily Sterling Overnight Rate of 0.0483 percent


Quarterly IMM SONIA Futures Settlement

Sep 2020 IMM SONIA Futures Settle @ 99.9467

IMM SONIA Futures for Sep 2020 have been settled to a final price of 99.9467, implying a daily Overnight SONIA Rate of 0.0533 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