Investor Services | Futures, Clearing and Collateral

INSTITUTIONAL CLIENTS ONLY FUT_DAYS_EXPIRE

21-Jul-20

Fut Dlv Dt Last Euro (CME)

Expiration US$/Euro Euro/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR Calendar spreads
Date US Libor Euribor Days to US$/Euro Spread from Rich/Cheap US Euro (def less nby)
EUR 1.1442 0.8740 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 1.1456 0.8729 0.35 (0.59) 55 1.1453 11 3 0.21 (0.45)
16-Dec-20 1.1473 0.8716 0.25 (0.35) 146 1.1476 34 -3 0.32 (0.42) 0.00224 0.00230
17-Mar-21 1.1513 0.8686 0.57 (0.53) 237 1.1499 57 14 0.40 (0.36) 0.00230
16-Jun-21 1.1526 0.8676 0.49 (0.35) 328 1.1522 80 4 0.45 (0.31) 0.00230
Fut Dlv Dt Last Canadian Dollar (CME)
Expiration US$/CD$ CD$/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor LIBOR Days to US$/CD$ Spread from Rich/Cheap US CD$
CAD 0.7432 1.3456 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 0.7433 1.3454 0.64 0.09 56 0.7428 -4 5 0.21 0.52
16-Dec-20 0.7430 1.3459 0.66 0.37 147 0.7420 -12 10 0.32 0.71 0.00010 -0.00080
17-Mar-21 0.7397 1.3520 0.04 1.12 238 0.7414 -18 -17 0.40 0.76 -0.00060
16-Jun-21 0.45
Fut Dlv Dt Last Sterling (CME)
Expiration US$/BP BP/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor LIBOR Days to US$/BP Spread from Rich/Cheap US BP
BPS 1.2706 0.7870 Rate Rate Expir. Cash (+/-) Act/365
(A) (B) (A-B) Actual Fair
16-Sep-20 1.2709 0.7868 0.24 0.05 55 1.2708 2 1 0.21 0.08
16-Dec-20 1.2708 0.7869 0.19 0.28 146 1.2714 8 -6 0.32 0.16 0.00053 0.00060
17-Mar-21 1.2720 0.7862 0.41 0.23 238 1.2719 13 1 0.40 0.25 0.00120 0.00050
16-Jun-21 1.2688 0.7881 0.15 0.61 329 1.2723 17 -35 0.45 0.30 -0.00320 0.00040
Fut Dlv Dt Last Yen (CME)
Expiration US$/100Yen 100Yen/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor LIBOR Days to US$/100Yen Spread from Rich/Cheap US JY
JPY 93.2700 0.0107 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 93.3200 0.0107 0.30 (0.14) 55 93.31 4 1 0.21 (0.05)
16-Dec-20 93.3700 0.0107 0.23 0.06 146 93.40 13 -3 0.32 (0.03) 0.11400 0.09000
17-Mar-21 93.5700 0.0107 0.52 (0.09) 238 93.49 22 8 0.40 0.03 0.20000 0.09000
16-Jun-21 93.7000 0.0107 0.59 (0.05) 329 93.58 31 12 0.45 0.09 0.13000 0.09000
Fut Dlv Dt Last Swiss Franc (CME)
Expiration US$/SF SF/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor LIBOR Days to US$/SF Spread from Rich/Cheap US SF
SFX 106.5530 0.0094 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 106.7200 0.0094 0.29 (0.82) 55 106.71 16 1 0.21 (0.73)
16-Dec-20 106.9100 0.0094 0.15 (0.50) 146 106.98 43 -7 0.32 (0.67) 0.27000 0.27000
17-Mar-21 107.2400 0.0093 0.37 (0.58) 237 107.26 71 -2 0.40 (0.60) 0.33000 0.28000
16-Jun-21 107.5200 0.0093 0.44 (0.54) 328 107.53 98 -1 0.45 (0.55) 0.28000 0.27000
Fut Dlv Dt Last Australian dollar (CME)
Expiration US$/AD AD/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor LIBOR Days to US$/AD Spread from Rich/Cheap US AD
AUD 70.8400 0.0141 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 70.8500 0.0141 0.19 0.12 55 70.85 1 0 0.21 0.10
16-Dec-20 70.7900 0.0141 (0.03) 0.49 146 70.89 5 -10 0.32 0.15 0.01000 0.04000
17-Mar-21 70.1300 0.0143 0.63 1.94 237 70.03 -81 10 0.40 2.17
#N/A Invalid Security
-0.86000
16-Jun-21 70.1200 0.0143 (1.12) 1.58 328 71.13 29 -101 0.45 -
Fut Dlv Dt Last Mexican peso (CME)
Expiration US$/MP MP/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor Cetes Days to US$/MP Spread from Rich/Cheap US MP
MPS 4.4748 22.3476 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
16-Sep-20 4.4420 22.5124 (0.09) 5.04 55 4.4440 -0.0308 -0.0020 0.21 4.74
16-Dec-20 4.3960 22.7480 0.21 4.74 146 4.3979 -0.0769 -0.0019 0.32 4.63 -0.04550 -0.04610
17-Mar-21 4.3220 23.1374 (0.76) 5.78 237 4.3552 -0.1196 -0.0332 0.40 4.58 -0.07400 -0.04270
16-Jun-21 4.2790 23.3699 (0.38) 5.49 328 4.3116 -0.1632 -0.0326 0.45 4.62 -0.04300 -0.04360
Fut Dlv Dt Last Brazilian real (CME)
Expiration US$/BRL BRL/US$ Implied Implied Fair Value Fair Value Futures Spot LIBOR
Date US Libor BRL Days to US$/BR Spread from Rich/Cheap US BR
BRL 18.9154 5.2867 Rate Rate Expir. Cash (+/-)
(A) (B) (A-B) Actual Fair
8/3/2020 18.9050 5.2896 0.10 2.10 10 18.91 14.44 -0.0050 0.12 2.08
9/1/2020 18.8350 5.3093 (1.67) 3.94 41 18.87 14.40 -0.0350 0.19 2.07 -0.07000 -0.04000
10/1/2020 18.7000 5.3476 (3.75) 6.07 71 18.85 14.38 -0.1500 0.23 2.05 -0.13500 -0.02000
11/2/2020 18.6800 5.3533 (2.42) 4.77 101 18.82 14.35 -0.1400 0.27 2.05 -0.02000 -0.03000
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