Interest Rate Futures Settlements

30-Day Fed Funds Settlement

FEBRUARY 2019 FED FUNDS FUTURES SETTLE @ 97.600

Fed Funds Futures for Feb 2019 have been settled to a final settlement of 97.600, implying a daily Effective Federal Funds Rate of 2.4 percent per annum.


One-Month SOFR Futures Settlement

FEBRUARY 2019 ONE-MONTH SOFR FUTURES SETTLE @ 97.591

One-Month SOFR Futures for Feb 2019 have been settled to a final settlement of 97.591, implying a daily Secured Overnight Financing Rate of 2.409 percent per annum.


Three-Month SOFR Futures Settlement

Dec 2018 Three-Month SOFR Futures Settle @ 97.5556

Three-Month SOFR Futures for Dec 2018 (expiring March) have been settled to a final price of 97.5556, implying a daily Secured Overnight Financing Rate of 2.4444 percent per annum.


MPC SONIA Futures Settlement

FEBRUARY 2018 MPC SONIA FUTURES SETTLE @ 99.2937

MPC SONIA Futures for Feb 2018 (March MPC meeting) have been settled to a final settlement of 99.2937, implying a daily Sterling Overnight Rate of 0.7063 percent.


Quarterly IMM SONIA Futures Settlement

DEC 2018 QUARTERLY IMM SONIA FUTURES SETTLE @ 99.2940

Quarterly IMM SONIA Futures for Dec 2018 (expiring March) have been settled to a final price of 99.2940, implying a daily Overnight SONIA Rate of 0.7060 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